When the electric field is shielded, there is no electric field (or force) on the other side. The field is absorbed by the sinks (i.e., negative charges). So, for gravity (since there are no sinks), the field does go through the material. For example, the moon still feels the gravitational pull of the sun even if the Earth is directly in front of it.
But what the field means is that any substance that participates in the force (for gravity that is anything with mass, i.e., everything) will experience a force along the field lines. This does not affect the field at all. So, an electron experiences a push when placed in an electric field not because it is absorbing or creating field lines (even though it does do that). It feels the force simply because it has charge (in fact, that is the definition of electric charge).
As far as gravitational fields interacting with themselves this happens in two ways. The first is the almost trivial fact of superposition. Two masses will each create a gravitational field that add together.
The second way is probably more along the lines of what you are thinking. Remember that the gravitational field is fundamentally the curvature of the surrounding space-time. So if a gravitational wave propagating through space enters the gravitational well of another mass, it will bend just like light or any other particle. It will follow the contours of the space-time curvature. But even in this case, the gravitational wave will simply pass on through like light bent around a massive star.