Though Borg Cubes are extremely powerful and durable, it seems that having shields would add even more to this. And yes, the Borg have their EM field, but why could they not use this in tandem with shields? Heck, even Pakleds use shields!

Also, undoubtedly the Borg have assimilated Klingons, Romulans, and other species that employ a cloaking device. Why not implement this into their ship designs? Is it too much of a power drain? Seems like if the Romulans and Klingons can manage it, so could the Borg. 

I suppose the Borg believe that such technology is unnecessary, but I don't see why they wouldn't try to increase their efficiency by whatever means necessary.