If you look really close in that episode, those were not really Borg attacking Picard! If you do some freeze frames you can see that they are just humans in really good costumes. They are a few of the humans that are big fans of the Borg and want to join but just didn't cut it. So they dress up as Borg and just try to tag along; "resistance is futile" and all of that stuff. So when they got shot in the holodeck it was just a few stupid humans getting shot is all.
And that's why the shields didn't 'work' for them...