Screens cannot engage in shielding behavior beyond presenting themselves as an additional target for enemy fire and shooting back at opposing ships because that's not how combat works.
I agree - I have never heard of screens specifically acting as a shield for the capital ships in this game past the 'lack of screens' penalty (a penalty to the fleet as a whole, not individual ships). And they only absorb ship fire 'on accident' - when the enemy fleet decides to target them instead of a more valuable target.
Also, for the guy who asked 'what are the best fleet compositions', the last time I tested it (a little bit after TFH was released), I came to the strange conclusion that massive fleets of nothing but screens was actually hands down the best choice. I honestly dont see a use for any capital ship, unless you want to get some shore bombardment (I think BB are the most efficient with that), or really need to bomb a coastal ground target and have no way of getting an airbase in range (I've never had that problem - you can always just leapfrog around that island and take something else). And, if you're going with the massive screen fleet plan, I highly recommend DD over CL, for two primary reasons. First, they are cheaper, so you can get more (40% more, to be exact). In this game, more ships = more powerful fleet. Second, they are faster. This will greatly aid in sinking carriers, as it can force them into close enough range to be sunk. Also, by 'massive fleets', I mean 40-50 ships as a basic starter fleet, and 75 is when you start getting a strong fleet. Strangely, 75 DDs only equates to about 9 carriers with CAGs (MATH: CV+2CAG = 7270 IC days, DD = 900 IC days. 75*900 = 67500 IC days, 67500/7270 = 9.28 CVs with CAGs). Note: the math is actually biased to make carriers cheaper, as it does not factor in practicals, so I actually think the cost comes out closer to 8, maybe even 7 carriers. All numbers were taken from the wiki statistics pages.