How long do they turn out for, is it all day? If it's only a few hours I wouldn't worry about the shade. My barn only turns out for about 2-3 hours on very hot days. Most of the turnouts do not have shade but it doesn't seem to be a problem. In fact, most of the stables in my area do NOT have shade in their turnouts, and some don't even have water. I am lucky though, my stable does not turn out in extreme heat or they get up in the wee hours and turnout before breakfast if it's going to be hot.
As for flies. I see no problem with fly masks. I've never had an insect get caught under one. The only issue I have come across is another horse helping my horse to get it off and then they bury it in the dirt/mud.
What color is your horse? Equus published a report last year where they did some research that showed that darker horses attract more flies than lighter horses (why you can usually only find white fly sheets). My horse is BLACK so he has a huge issue as well. In fact last year you couldn't find a fly in our whole stable, not even on the other horses except mine who had about 50 buzzing in his stall even with auto fly spray in there. I have been giving him Smart Bug-off
this year and the amount of flies around him has greatly diminished. I used to use a bottle of flyspray each week, now 1 bottle lasts me a month.