Why are "horseshoe" shims shaped the way they are?
I used these extensively in my kitchen remodel. Wood shims always seem to split on me. And, since I live in a humid area, wood shims disintegrate over time. Many of my original base cabinets have settled leaving a gap between the counter and the backsplash. 

This is how I assumed that they should be used. When hanging wall cabinets, you loosely tape them to the wall (open side down) where you think that the screw will be installed. The screw goes inside the horseshoe, near the top. The shim is now captive, the pressure should hold it, but if it doesn't the screw won't let it fall out.

Why not round? Probably so you can insert them after the screw if necessary.

The horseshoe shims that I used were slightly different, they had flexible tabs so they could be stacked.