Slitherine

Playing as Macedonia the Silver Shields and Companions are selectable to build in the province of Greece, but not buildable because my King's Palace is in Macedon. They aren't selectable to build in Macedon.

I saw a similar where is your capital bug when playing as Rome when, upon upgrading to Empire tier they moved my emperor's palace to Tarentium, rather than Rome.

So having actually won that Macedonian game, what I think is happening is:
A variety of greek provinces (presumably just for Diadochi nations) show that they can produce Silver Shields and Companions. Each province can produce 1 of each unit and only if your capital is built in that province. Once you have built that unit in your capital it disappears entirely from the province build menu, despite appearing in the province build menu of other provinces, even though you can't build them there.

This kind of makes sense but seems a really inelegant way of dealing with the problem, as well as the fact that only having 1 of Silver Shield and Companion seems really, really, low.

The unit should be flagged to only be visible if the capital building (palace, agora) is present, and the limit should be raised to probably 8 & 4 so you can have at least one full army of elite troops.

We want to show why a unit that is potentially available can't be built, that's why you still have it listed but with a red triangle. There was a bug that led to the tooltip not providing the correct information though.

Silver Shields and Companions were rare, the remnant of Alexander the Great elite force. Only Antigonos can build several, and this is one of his unique feature.