It largely depends on the class, stats, and chosen skills.
If I had no shield proficiency, I'd consider getting light shield, but would not bother trying to get up to heavy.
If I only had light shield proficiency, that's likely what I would stick with, unless the group had no defender, in which case I might upgrade.
If I had both proficiencies, I'd likely use heavy shield.
For instance, for my Warlord, I'll stick with light shield, and will upgrade my armor from Chain to Scale. It's very clearly the superior way to go.