Shaders
are most commonly used to produce lit and shadowed areas in the rendering of
3D models. They are downloaded from websites that do such rendering and are cached
by the browser to optimize future loads.
Privacy issues may arise as caching could help fingerprint the user, by his
cached shaders.
Also, if shaderA is used and cached when visiting siteA.com, then
performance differences could possibly be used to detect whether the user
has visited that site before.
These extremely vague privacy concerns are (in my opinion) overdoing privacy,
as there are so many easier methods to fingerprint a user, see the post
Unique Browser / User ID.
Removing the shaders cache should in general not cause any big problem,
as the shader will be downloaded the next time you visit the website.
For large shaders, this can slow down appreciably your first access to the
website, while the shader is downloading and being setup.