When socket A Athlons were new, there were some spring clips that were very hard to get on. In that period, clips were getting much stronger than they had been in order to put more pressure on the interface. In order to get some leverage, people used to tilt the HS to one side to get the first side of the clip on. That used to be OK with the former metal CPU covers. The use of a very hard, inflexible organic (plastic) CPU covering made it possible to chip the edge by the extreme pressure on the sharp edge. Shims got to be popular. All they do is make it impossible to use the bad technique. AMD put the rubber bumpers on. They squish down to just the right height when the clip is in place, while making it almost impossible to use the tilt technique. I think the bumpers are superior to shims myself. Meanwhile, manufacturers have adjusted their clip designs so that it isn't so hard to get the clip on.
I think the main reason for the shim was the popularity of the Thermaltake Golden Orb, which in the beginning had a round base that missed the rubber bumpers.
As it stands, shims are pointless. They sell them to first-timers who get very worried that something will go wrong.
Some people think shims cool the CPU ( copper?), but they almost certainly do not help. Copper is not a magical cooling subtance; it simply tranfers heat. There is no point in tranfering heat to the shim. The plastic or ceramic cools itself just as well as the shim. By reducing the air flow under the HS, shims probably warm the chip carrier slightly, not cool it.