When Shining Armor was introduced as a member of the Royal Guard, I immediately began picturing his interaction with Luna after her return from 1,000 years of banishment. I've always seen him as one of the few friends Luna had for a long time. Where his relationship with Celestia and Cadence would have already been established, Luna would have been a complete unknown, but where bravery seems to be the essence of what drives Shining Armor, so too is compassion.
In my mind's eye, Shining always spent just a little extra time at the palace, just to be with Luna, who was still feared by most guards. His friendship with her would both unintentionally help lead to his promotion to captain of the guard and the approval of his marriage to Princess Cadence from both Celestia AND Luna.