Spalling/scatter. In certain radiation environments, shielding makes things worse, as an energetic particle can cause a knock-on flood of even more damaging particles to be emitted if strikes an atom in the shield. Ultimately more mass does help, but we're talking meters-thick, not just another few cm.

The details are a lot more complicated than that. It's just worth keeping in mind that for any given radiation environment, there may be times when either more or less shielding would be a better choice, as counterintuitive as that may seem.