I absolutely hate the idea of them immediately starting to split up after their first loss for a couple of reasons. For one, that makes the reason from them splitting up the loss, which will bring me to my second reason in a second, which is easily one of the most generic ways to break them up. They actually have on their hands, a gimmick, a team that will allow a more creative way to end their alliance. Ask Stopspot, he suggest three different ways in which they can break up, all of which are more creative and beneficial then the main reason for their break up being their first loss.
Which brings me to number two, the best thing about The Shield is that they actually feel like a cohesive unit. The reason I disliked Nexus, for the most part, was that despite their theme claiming "they are one" they never felt like one. They always felt like Wade Barrett's team. Barrett was the clear cut leader, it was obviously a vehicle for him more than anything else. And also, several of the superstars in Nexus never really got to shine any kind of personality. The only ones that really did off the top of my head was Barrett & Otunga. With The Shield, that's not the case. We may be most impressed with Ambrose, I know he stands out the most to me, but The Shield come across as one. They come across as equal. And they do so without sacrificing their individual characters, it's awesome. When Nexus started crumbling after their SummerSlam match, where they decided they had to weed out the weak, that works. The Shield seem like a stronger bond. The Shield shouldn't succumb to one loss, they shouldn't place doubt on each-other's ability.
I certainly would be cool with the Summer of Ambrose idea, and that's probably the best time for them to do it honestly.