I'm sorry for posting in a really old thread, but this could be useful to some people in the future.
So, those black parts on their shields always bothered me too. That problem isn't caused by their wrappings, but their textures(skins). It seems that they forgot to add alpha channel around their shields.
Here are all Murloc textures. I edited them, so that you could import them to fix this. The paths for those skins are also included in the attachment below.