Hi. This issue was fixed in a previous release. Posting information below. Do not know why it is popping up again for you. You should try the workaround and see if that fixes the issue for you. If not, there are other things you can try.
User Solutions: Brave Release 1.41.x
ISSUE: Shields Disabled by Default
Fixed: Brave version 1.41.96
- Fixed Brave Shields being disabled by default in certain cases. (#23214 )
Brave GitHub Issue Report:
default shield-on option lost since a recent update #23214
Retired Content: Obsolete (Source/Workarounds)
Source: Shields down by default - #6 by Mattches
Workaround: Settings --> History —> Clear browsing data --> Advanced , selecting Site and Shields settings (for all time) and relaunch the browser
Please post an update.