Shields might seem "expendable" strictly based on #'s but he is extraordinarily durable, a leader, and most importantly for the Royals, cost controlled for 2 years. Wade Davis was a top 10 prospect in 2010, and had a great year last year in the BP. At the very least he will be a great BP arm, and could possibly have straightened something out to become a good #3 starter.
Myers is a great prospect, but he's not the top position prospect in baseball. That title belong to Jurickson Profar or Oscar Tavares. Myers ultimate ceiling is a Jay Bruce type player, but like mau said, he's a prospect. He could also completely flop. Odorizzi is a solid #4 upside SP. I would say a wash with Wade Davis, with Davis being more immediate. Montgomery is the wild card in this deal, he was thought to have ace level upside before he was terrible this past year. If the Rays fix him, they run away with this deal.
I would not have done the deal as the Royals, but it's not terrible as is. They want to go for it and are trying. Much like every other sport, the highest peak for the value of a player is before they step on the playing field to show their warts. Think Omar Calhoun in pre-season. I think the Rays will probably win this deal in the long run, but it is not as crazy as the media is making it out to be.