Basically, Yun Shield + Leonardo equally to the official Arduino Yun, but Yun Shield is more flexible because it can work with other Arduino board such as Uno, Duemilanove, Mega etc. And Yun Shield uses external wifi antenna which provides stability and possibility for various environments.
But it would be possible to buy only the part of the wireless module
You are much better off looking for a finished module, rather than the individual parts: all of the hard work is already done for you. For example, Dragino HE or the Domino Core