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Shields and ammo can currently be socketed.

It does nothing. Never did. It wasn't supposed to be there. It's because shields are classed as weapons. Same with ammo.

After the next update, you won't be able to socket them anymore. You will, however, be able to desocket them if you want. Or, you could keep them as a momento if you want (if you're into that).

Gems in ammo? Do stones count too? Like.. That whole meme "Yo dawg, I heard you like stones. So I put stones in your stones." Because that'd be a funny memento to keep.

.. That would be awesome.

And, indeed.