It's probably worth it, maybe a bit too costly
The sentinel shield is an uncommon magic item, an Armor (shield) that does not require attunement:
While holding this shield, you have advantage on initiative rolls and Wisdom (Perception) checks.
So, whatever value is seen here by the author of Sane Magical Item Prices must be due to them valuing either or both of two things extremely highly
- Not being able to be surprised
- Going first in combat
You can see where they are coming from by looking at the ring of free action, which is likewise priced at 20,000 gp. Much like the shield, the ring avoids you to getting into situations where you are a sitting duck, and that could potentially be lethal to you.2.
The shield gives you both these things, as a freebie at no attunement cost, so you can add it to whatever other items you have. That is what makes it valuable.
I think the value is a bit too high, because many of the classes that can benefit from the shield, like an archer, a wizard or a rogue assassin do not have shield proficiency or a free hand available, so they cannot fully benefit from its normal shield aspect or it gets into the way of using their other features; and since doffing a shield requires an action, they cannot just use a free object interaction to drop it at the beginning of combat.
Value of not being surprised
I'll make a confession: I took the Alert feat for my wizard; our Gloomstalker ranger/rogue who already had an insanely high initiative and perception bonus also took it. The reason is that getting surprised and botching on your initiative is one of the few ways you might die even at higher levels. Even if you have already a +9 or so on imitative from high dex and other features, you still can roll a 1 or 2 and the opponents can roll a 12 or better and win, it does happen, it's not that rare. If that happens, you eat two full rounds of the worst attacks your enemies can offload before you get to do anything.
Two full rounds of concentrated attacks from smart opponents on a single character in an ambush can easily take a character out, if the character is not built for withstanding attacks but for dealing damage or controlling the battlefield.
There are many philosophies of how to build your character: you can go for big effects but have a glass cannon, or you can go for resilience. When you build for resilience, the first order of business is not to die, and you can worry about taking out the opponents later. Especially if you plan for a long campaign all the way up to level 20 you can expect to face multiple surprise situations, and dying in any one of them could end you. Not being surprised is going to add a lot to ability to survive.
Value of winning initiative
You theoretically can get to very high bonuses on initiative. Still, a normal character in practical play without magical equipment like we are discussing here will have something in the range of +0 to +5 (from Dexterity, most people put something in Dex as it is overall pretty useful), and sometimes for certain classes another +2 to +4 for their secondary ability score bonus, and, if you take the Alert feat1 to optimize for it another +5. So it could range from no bonus to +14. As discussed, that still leaves a window if you are unlucky, and roll a 1 or 2, and the opponents roll high. Getting advantage on the roll can easily be worth another 4-5 points, big for everyone, and sealing the deal for those optimized for it.
While you cannot get better than going first, consistently going first is extremely valuable, in particular for classes like a multiclassed rogue assassin that can leverage surprise, or for wizards that want to remove an opponents with something like forcecage, or kill as many goblins as they can with fireball before those get to attack.
In addition, the party that goes first is first to get a chance at a killing blow on opponents, removing the opponents from combat and avoiding their counterattack. This can shorten combat, and as most fights are over in 3-4 rounds, can avoid a quarter or a third of damage taken.
Winning or losing initiative can change the entire way a combat plays out. This can have a much bigger impact than adding more damage to your attacks with a +3 weapon (and for that matter, having the sentinel shield still allows you to use any one handed +3 weapon).
1 PS. Comparison to the Alert feat
The effect here is similar to, but not quite as good as the Alert feat, one of the better feats (rated 14th out of 74 in a survey of 90, i.e. in the top 20% best feats), that has this effect:
- You can't be surprised while you are conscious
- You gain a +5 bonus to initiative.
- Other creatures don't gain advantage on attack rolls against you as a result of being unseen by you.
Advantage on average adds about 4-5 pips to a roll, and on passive perception that is used on surprise rolls, it adds a full +5, so this is giving you a 25% improvement to avoid surprise, but it is not as absolute as when you just cannot be surprised, period.
Likewise, the advantage on initiative is nearly as big as the one given by the feat, and it combines with other features that increase your initiative.
It does not have anything for the last point, which is very situational, but could come up occasionally.
So in total, it has only the two major effects of alert, and those slightly nerfed, so I think this would be middling as a feat, maybe comparable to an ASI. That still is pretty valuable, but seems too expensive if you for example compare it to gauntlets of ogre power from the same document that are priced at 8,000 gp. Those gauntlets can set your strength to 19, which for weak characters like a wizard with Strength 8, is the equivalent of getting 5 ASIs, not one.
But, as discussed above, I think the number of ASI equivalents is not how this item was assigned its value. The item is just very good in avoiding you to get stuck in a potentially lethal situation.
2
You also could compare it to a weapon of warning, another uncommon item from the same list that is priced at 60,000 gp. It mostly does this:
While the weapon is on your person, you have advantage on initiative rolls. In addition, you and any of your companions within 30 feet of you can't be surprised, except when incapacitated by something other than nonmagical sleep.
That is the same effect on initiative, but upgrades the benefit against surprise to full-on "cannot be surprised" for both you and your party, tripling the value. It clearly shows that the list consistently values these abilities very highly.