I see that some wireless devices like Bluetooth speakers don't use shields like this one
but some do. My understanding of FCC Part 15 is that only modules need shields. So how come some devices use shields whilst others don't?
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In the United States the FCC (Federal Communications Commission) Part 15 regulates unlicensed transmissions.
It doesn't matter whether you are using a "module", it is the unlicensed use of any transmission.
The FCC doesn't care HOW you comply with the regulations. If a device complies with regulations without using a shield, so much the better.
(Shield meaning here is a metal envelope or enclosure, not shield as used in Arduino definitions)
EDIT 1 : A device manufacturer might also use shielding to make their product more immune to interference from other electro-magnetic interference.
EDIT 2 : After seeing comment by DigitalNinja, I did further research. Apparently the FCC does use the terminology "module" and "modular". The following is extracted from : October 23, 2015 TRANSMITTER MODULE EQUIPMENT AUTHORIZATION GUIDE :
One definition of modular is cited, among many other types of modular as,
Single-modular transmitter is a self-contained physically delineated component that can demonstrate compliance independent of the host operating conditions, and complies with all eight requirements of the Section 15.212(a)(1) and summarized below.
and which complies with all eight requirements of § 15.212(a)(1).
Which includes as the first item :
1) The radio elements must have the radio frequency circuitry shielded. Physical components and tuning capacitor(s) may be located external to the shield, but must be on the module assembly; 2) The module must have buffered modulation/data inputs to ensure that the device will comply with Part 15 requirements with any type of input signal;
There are other sections of the same "Authorization Guide" that allow compliance with the FCC Guide without using shields. Often regulations can conflict with themselves. I can now see where the original OP, and the commentor DigitalNinja have concluded a shield is necessary, even though I read the FCC guide as not requiring a shield, or perhaps the definition of a "shield".
If a module is to be used for internal consumption a shield is not required as the product that your module is put down on will need to be tested. Any Module that is sold as a stand alone item must be shielded to get FCC approval. That is why you see a shield on brand name, certified modules. I would be very wary of any that claimed to be FCC and other agency approved that did not have a shield.
The FCC defines a module for the purpose of pre-certification. So a company can sell you a module that is already FCC certified and that saves you the costs and time of having to certify your own product. You still have to certify the rest of the product but the wireless portion is taken care of. And there are strict rules on how the module can be used on the system and if you violate that you would have to still certify the whole thing.
As Marla said, 1) a shield would be added if the product can't pass EMI testing without it 2) a shield would be added to increase immunity from external EMI.