King's Pawn Shield
When a king castles, it tucks itself behind a wall of three pawns -- the ones diagonally and directly in front of it on the adjacent rank. For a white king on g1 that's f2, g2, and h2; for a black king on g8 it's f7, g7, and h7. Together those three pawns are the king's "shield": as long as they're all still standing on their original squares, no enemy piece can walk straight up to the king along a file or diagonal without first breaking through a pawn.
The shield only makes sense once the king has actually moved off the center files onto a wing -- a king still sitting on e1 or e8 has a different, bigger problem (it's exposed down the open center), which is why this check only fires once the king looks castled. From there, the detector inspects each of the three shield squares and flags any one that isn't occupied by a friendly pawn.
A shield square goes bad in two common ways: the pawn pushes forward (say h2-h4), leaving a hole behind it that an enemy piece can slide into or land a knight on, or the pawn disappears entirely (traded or captured), opening a file straight at the king. Either way, the gap becomes a highway for rooks, queens, and knights to get close to the king with tempo -- often the first sign of a coming attack, well before any actual threat appears on the board.
Not every advanced pawn is a disaster -- sometimes pushing a shield pawn creates luft (breathing room against a back-rank mate) or supports an attack of your own. But every gap is a standing weakness that has to be watched: the fewer pawns still guarding the king, the fewer squares an attacker needs to control before delivering checks or worse.
Worked examples
King shield gap on h2
White's king castled to g1 with f2/g2 intact, but the h-pawn advanced to h4, leaving a hole on h2.
Fully intact shield
White's king on g1 still has all three shield pawns on f2, g2, and h2 -- no gaps at all.
Two gaps in the shield
Both the f2 and h2 pawns are gone -- only g2 remains, leaving the king with two open lanes instead of one.
Test yourself
White's king castled to g1, but one shield pawn already advanced. Click the gap in White's king shield.