Looks to me like you have a rogue vertex that is not properly assigned to the skin modifier. It may very well not be coming from the shield...but from the arm behind it. The shield model has no skin modifer, and is basically inert.
I would re-import the model into Max, and thoroughly check the skin modifier.
If all seems OK, and it still does this, remove the skin modifier, make sure you have no duplicated vertices, and then re-do the skin modifier. This ought to cure the problem.
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