You're not doing anything wrong. Printshield is essentially a spray-on lacquer; no different in concept than the fixatives artists spray on charcoal or pastel drawings to prevent smudging. Similar products come in matte, gloss, and satin finishes. To get a gloss coating you'd have to apply a gloss-capable product thickly enough that the little bits of it all bleed together.
PremierArt also makes Ecoshield in matte, satin, and gloss finishes, but this does not come in a spray can, and I've heard you'll have the Devil's own time trying to apply it evenly and without streaking if you use a brush or roller.
It's not that using Printshield on photo paper is not advisable, but rather that the slight change in gloss and slight loss of dMax is the trade-off for the added protection it provides.