Several of the later VOY episodes suggest that as soon as you are assimilated, you become immortal and independent of your physical body, sort of. It could be argued that letting a Drone body die is not a loss to the Collective in any way, then: it's just a further way to make good use of the biomass. Why not let Drones die of phaser blasts, when it gives you information on the phaser types being used, information you couldn't gain if you stopped the phaser from having its intended effect?
Or it might be a fairly simple pragmatic reason: a Drone never carries "preemptive" defenses because a Drone can only carry so much, and being prepared for everything would overburden the poor thing. An energy shell might be as stifling to a Borg as a gas mask would be to today's infantryman - it would definitely stay off until absolutely needed.
As default, "shields" in the Trek universe seldom stop a determined attack by conventional beam weapons. Dukat's transport in "Return to Grace" was supposedly shielded, yet this offered no protection against the weapons of a Klingon BoP. So why did Cardassians bother to have shields on the transport in the first place? Apparently because the generic shield still stops certain threats of "lower than military level". When dealing with something stronger than that, you either need to carry hardware that costs too much (in terms of power use, weight or plain credits) or you need to tune your stuff to be of specific use.