The KwaZulu Cultural Museum at Ondini, Ulundi is a good start.
The Eshowe Museum at Fort Nongqayi used to have a collection of shields, that said I haven't visited there since the 120th anniversary so things might have changed.
The Natal Museum, now renamed the KwaZulu-Natal Museum, again used to have a collection of Zulu weapons including shields, but I know pilfering has occurred there.
The still closed National Army Museum in Chelsea has a shield from the former Middlesex Regiment collection, that the 57th acquired from John Dunn that was attributed to King Cetshwayo. However, enquires made by the Zulu Royal House to see the shield have drawn a blank.
Most regimental museums with a Zulu War connection have the odd shield or weapon on display. Nottingham Castle has some weapons collected by John North Crealock, he obviously had to do something when he wasn't cooking the books or drawing!