In Melty Blood, being countered typically means that you'll be stunned for an additional period of time. However, if you're countered during a JUMPING attack, it doesn't matter what you got hit with or what you were attacking with- you are completely unable to air-recover.
The easiest way to exploit this is to shield an opponent's jump-in and counter with a standing 5A. You then have plenty of time to set up an attack to continue the combo.
Some characters have other options on counter-hit. Nero Chaos can counter with a crouching 2C to pop Shiki up in the air, then juggle with a charged 2[C] before resuming the rest of his air combo. Under normal circumstances, Shiki would have air-recovered after the first 2C.
What this also means is that Shielding allows you to score free counter-hits. However, it's offset by the automatic 70% prorate, so make the best use of the opportunity.