In cannon the Borg do have internal shielding of critical ship systems using dampening fields etc. They do not use external shields but typically have regenerative armor. They do have the capability of using shielded ships that they assimilate. Native Borg designs do not typically employ external shielding. One of the reasons they are so easily infiltrated by away teams all the time. :) Of course some new ST writer may decide to re-imagine the Borg with rainbow shields with unicorns in the next episode. So you do your thing if you can.

actually, they do have a form of shield. The field they had to penetrate using a shuttle in the Best of Both Worlds episode, when active, is their adaptive defense. That field is what gets adjusted to adapt to enemy weapons. You see a similar field on borg drones as well when they adapt.

The Borg in Game do not use shields, instead they get amazing Armor and Hull Regeneration. At end game Borg ships and Starbases are regenerating 100+ Armor and Hull per day in game....