I'm not a huge fan of Xenophase Blades in general because Kill Teams are already expensive as hell.
That said, the Eldar and Tau leaks look to change that thinking, as Invulnerable saves might become a lot more common in general. You've only got 2 platforms for the Xenophase Blade - Proteus Sgts and FIrstborn Captains, so it might be worth it.
Blackshields are definitely worth it. Basically your 6th man in the squad should be a Blackshield. And then you'll start wondering it you shouldn't just bump the squad to 10 to have more bodies to protect the melee gods in the unit (Sgt + Blackshield). It's super easy to over analyze Proteus teams.
While I haven't gotten around to painting my Proteus Kill Teams yet (burned out on the first 1000pts, see here
https://www.dakkadakka.com/dakkaforum/posts/list/798012.page), here was the loadout I went with:
1 Sgt with Bolter and Powersword
4x
DW Veterans with Bolter and Chainsword (this was tough, as I had to scrounge a lot of old kits for chainswords, but it made for cheaper
DW veterans)
4x
DW Veterans with Bolter and Storm Shield (meat shields)
1x Black Shield with Thunderhammer and Lightning Claw (versatile melee god)
I tried to keep the squad cost down and number of bolter and melee attacks up, as I figured Proteus teams would be there for dealing with lower end enemy troops in bulk. If there's a hard target to melee, the Thunderhammer can do the heavy lifting.
Though I almost went with 4x Shotguns, and could definitely see a 4x Shotgun 4x Fragcannon unit in the future, just for rule of cool.