Wake-up shield is a reversal because the shield is active on frame 1. Therefore there is no start-up on shields. Now the stuff they can do after a shield might be what your friend is talking about.
Speed of things for C-moon shields depend on the char and the type of shield. EX shield to normal, like 5A, is prolly the fastest thing. Chars with 3 frame start-up 5As can CH the opponent. Chars with slower 5As will not counter hit, unless the opponent did a multi hit move, or a move with more active frames, like a j.C. If the C-Moon did held shield, then the speed depends on the special, or EX they canceled into.
F-moon 236D follow ups may be faster than H-moon auto counters, but they can delay it a bit. They can cancel into specials/EX like C-moon.
H-moon auto counters speeds are char specific, but in general, slower. They can cancel into specials/EX like C-moon.