They have (or had; haven't seen them since 0.8) a small shield on their shoulder, but nothing to prevent them from using their lance two-handed. IIRC Seleucid Hetairoi also used small shields at some point.
they had a small shield on thier side since the beginning, but the two handed anim caused a clipping bug which did not look so well (the shield vanished in the neck of the horse), because of that theri anim was changed to the normal onehanded one