Yeah, Mind Shields currently don't provide any bonus against alien psionics - but that'll be fixed in the next few patches.
Perhaps the alien psions are too strong at the moment, but it's not true that there's no defence against Mind War - it's a check versus the unit's Bravery vs. the alien Psionic Strength, with a random element added on. And the aliens have to succeed by more than 30 to Mind Control a unit rather than just panic it.
Units also get a bonus to their Bravery equal to the % of TU that they have remaining, though, so if a unit has full TU at the end of your turn they have double bravery and have a much better chance of resisting it. And you should be taking low Bravery soldiers into battle against Psyons anyway, really. I appreciate none of that is explained in the game atm though so I can definitely see how Mind War is frustrating to play against; see if you find it any less frustrating now you know that.
Potentially there's an argument to make the random element smaller as part of a balancing pass, but that also means low Bravery soldiers will have less chance to resist a psionic attack.