you don't NEED a protoshield. Compared to the 1-cent shield, or just a separate protoboard, a proto-shield offers a convenient platform for somewhat longer-termed projects. You can use flying wires for experimenting, a protoshield with protoboard for (say) the duration of a class project, or a protoshield with soldered components for a semi-permanent project (like an art exhibit) (note that most protoshields include a copper pattern that mimics a protoboard, so it's comparatiively easy to transfer a circuit from the protoboard to a more permanent state.)
For a truly permanent project, and especially for one made in quantity, you'd probably want to have a PCB made, but the protoshield excels in providing less difficult "transition" steps.