No, they are being attacked in the game I played (The B5 opt-in)

It looks like the opt-in fixes the issue.

So, my unsolicited advice is to load the B5 opt-in. 

We've gotten intermittent reports of this.  For those who have seen it, has the SK attacked your cities in the same games?

^ Like the gentleman above, my Let's Play on YouTube highlights this exactly. Aegethon just sits on one tile and in 80+ turns, not a sinfor shard has been attacked or a fortress been built.

But I've allied with the Dwarves, started a second city, and have done some stuff worth of increasing the threat and...nothing.

Also, now that you mention it, my threat level IS zero.

I've had this experience as well. In Beta 4 and the Beta 5 opt-in, I've had several games where the sorcerer king doesn't send units to attack anything. In fact, in Beta 5 opt-in games where this happens his units don't seem to leave his territory. In Beta 4, he just seemed to stop spawning units very early on (or maybe never did, if he starts with an army). I can't comment on Beta 5, as I didn't bother playing it what with the save/reload bugs.

In fact, the only time shards have been attacked in my last 3 games have been when neutral units attacked them. Is that supposed to happen?

Also, I played normal difficulty in Beta 4, but bumped the difficulty up to hard in Beta 5, so there's another wrinkle for you.