Well originally it didn't have the property actually. It had a resistance to fire and explosives when it was first introduced. It was changed later so it wouldn't have the afterburn effect. Now you are right, it was taken away, but now all shields remove debuffs on charge, ie in patch notes "Charging now removes debuffs from the Demoknight (Bleed, Fire, Mad Milk, Jarate)"
I do agree some of the pyro changes are a bit crazy, but I also think most of the pyro changes are balanced. We will see how this plays out in the next couple of weeks and see if they need to tweak stuff again.