Warning about that shelter (6)
I believe the answer is:
threat
'warning' is the definition.
(I know that threat is a type of warning)
'about that shelter' is the wordplay.
'about' is an insertion indicator.
'shelter' becomes 're' (I can't explain this - if you can you should give a lot more credence to this answer).
'that' going around 're' is 'THREAT'.
Can you help me to learn more?
(Other definitions for threat that I've seen before include "Menace of impending evil" , "Menacing words" , "Warning of intent to harm" , "An intimidatory warning" , "The rat became a menace" .)