It depends on who you’re playing. If you’re a highly mobile character like Caldarius, Benedict, Thorn or Melka, then yeah, because it doesn’t take you long to get the shards on your own side, and you can even steal them from the opposing team if they’re not paying attention. But if you’re playing Miko (who basically never leaves the front, just retreats when his attackers do to top off health,) you’re not really going to be doing anyone any favors leaving the lane to get shards.
Generally speaking, all my non-capture gear sets are two legendaries and a shard generator.
If you’ve got the right legendaries for the character, you’re getting slightly more stat (Symbiotic Gauntlets/Stolen Edge of Arcvynorr/Vow of Vengeance/Vow of Zealous Fury) or utility (Shard of Jennar/Captain’s Snazzy Timepiece/Vyn’s Quiver/Boots of the Brute/Executive Insurance Policy) out of two legendaries as compared to three epics, for only 450 more shards. But if your third slot is a shard generator, you’ll earn your gear faster, or level faster by buying buildables and minions. And of course, once your gear is paid for you’ll always have cash for buildables.
I’ve played around with other setups, but I really prefer the free shard generator. You start earning shards the moment it’s activated … so before the doors open even. If you’re someone who is likely to stay on the field rather than respawn (such as Miko or Reyna because they heal themselves,) you can be constantly supporting the fight, and building/re-building whatever structures are at the forefront. If you’re a late-game bloomer, you’ll have the shards to level faster and get there much faster … and that third legendary won’t matter as much as being to level ten that much sooner. And if you’re a character who leaves the front to get shards (or steal enemy shards, like Caldarius or Melka,) then you’ll almost be able to buy a minion bot every time it cools down.
I’m sure there are other schools of thought that work well for others (a focus on buildable cost can make sense for instance for late-gamers - but even then the Sentinel Reset Switch or Generous Refund Policy might be better in the long run - I’m not sure,) but the split with two legendaries and a shard generator works out pretty dang well for me.