Check their options, and you'll see that Thunderwolf Cavalry have the option to replace their bolt pistol with a plasma pistol, and then also may take items from the Melee Weapons list.
They already have a chainsword as their melee weapon, so at this point we know they may take a plasma pistol and melee weapon. There's no option in the unit's datasheet for a storm shield, so let's have a look at the Melee Weapons list.
The Melee Weapons list starts with the following line:
"A model may replace his bolt pistol and/or Melee weapon with one of the following:"
There is a storm shield on that list, but it requires the replacement of either a bolt pistol or melee weapon, so you see then that they're unable to have all three - at best you could have a plasma pistol and storm shield or melee weapon and storm shield.
Welcome to the game. Datasheets are easy to read once you learn the ins and outs of being required to replace a weapon versus simply being allowed to take something without needing to replace