#2 The titles he has not won
All the Shield members are Grand Slam Champions but they all have a few titles yet to be conquered.
Reigns has not won the Raw as well as SmackDown Tag Team titles, even though he has won the earlier iteration of the tag team straps. Rollins has not yet captured the Universal title (which he predictably should at Mania 35) and the SmackDown Tag Team titles.
As for Ambrose, the 8th Grand Slam Champion in WWE history has never won the Universal and the SmackDown Tag Team titles. We can disregard the blue brand's tag team championship as he hasn't been a regular feature in the tag team scene on SmackDown, but it's unusual to think that Ambrose has never been afforded a clear shot at Raw's top prize.
We don't blame him either as the Universal title can very well be renamed the Brock Lesnar Championship as the Beast Incarnate has taken a liking for the outlandish red belt.