Holy Knights are going to be heads of the 9 most important families bar Gorosei. ( Or even including Gorosei, w/e ).
Figarlands are one, and Shanks still has the honors and connections of the Holy Knights heritage but doesn't serve WG directly.
Figarlands will be the CDs Garp had to protect during God's Valley, one of the family members hid Shanks on Roger's ship.
Growing up Shanks started to get invited by the WG who tried to explain his heritage to him but he chose to remain a Pirate for his personal reasons ( Roger being his hero/role model ). Although he would still use the benefits of his Heritage as seen during MF or meeting with Gorosei.
To counter argue questions such as "It makes no sense" it does. Shanks found out about his heritage along the way, he wouldn't be able to stop the MF war or get a meeting with Gorosei just because he became a Yonko.
+ Hit or miss, being a redhead lost on God's Valley, it's not far fetched to think that his family members would try to find him if they didn't confirm his death during God's Valley.
When he was with Roger, WG wouldn't dare to try it but once Shanks went his way they started to approach him.
It was easy to kill rookie Shanks so until he became capable of defending himself he probably wasn't pursued by Marines due to Figarland tax.