It depends......

You have not really specified "when" for an empire that lasted from about 301 BC to 64 BC and underwent many changes....
The use of shields by Hellenistic cavalry has a long debate in the pages of Slingshot; even Alexander's Companions have references to shields, but it is generally accepted they were not used with the Xyston (lance).
One theory is that shields were adapted after contact with the West where they were used.
Tarrantine cavalry appear in the Diadochi wars, though whether they were Italians or carried shields is unconfirmed.
Pictorial sources show cavalry with shield late in the Hellenistic period, although even then unshielded lancers appear.
Seleucus inherited the former Persian / Eastern empire, so would have access to Iranian cavalry. Darius had tried to get the Persian cavalry to adopt the lance; how widespread is uncertain. Normally shown with javelins and no shield.
Late in the Seleucid era, small terracota statues have been found showing unarmoured trousered cavalry with a soft cap, javelin and round shield. They have been christened "Civic Militia cavalry" and reconstructions exist on which figures are based. The cap differs from the Persian " tiara" as shown in the Alexander mosaic.
HTH,
Neil