That is intended; you do not take any actual damage. The client should show an "Absorb" message every time you are hit, in order to indicate that the damage you received was absorbed by your shield and did not go through.
As a result, using Mana Shield in PvP can be dangerous. Emerald Shield too, but it doesn't carry any adverse effect (beyond taking you out of combat for a longer time), such as draining your mana as it absorbs damage. You should be wary of your surrounding when you use that spell.