If you want to get 5 shields in your police stations, you have to max out every object and department in the game, as well as to expand all your district areas (map icon). 

 

1) Tap on the Management button (blue icon in the lower-right corner of the game screen) to see progress bars in all your departments. They should be all green.

 

2) Tap on the map icon and make sure that all your district areas are completely expanded.

3) Also, you need to arrest all the most wanted criminals available on each level (brown icon in the lower-right corner).

 

These shields will unlock bigger and more challenging police stations for you.