Why the shield can?

[greengnu]

Why have most ESP32 modules a shield can? is it to protect the esp32 from the antenna or vice versa?

If using an ESP32 pico D4, would it make sense to put it under a shield can as well?

[WiFive]

It does help with emi, but it is required for modular certifications. There are certified standalone products that do not have rf shielding. Also there is a ttgo PICO module with shield. So it is up to you and your design requirements.