According to https://www.bernardwelds.com/mig-welding-shielding-gas-basics-p152080 the purpose of shield gas in steel welding is:
...to prevent exposure of the molten weld pool to oxygen, nitrogen and hydrogen contained in the air atmosphere. The reaction of these elements with the weld pool can create a variety of problems, including porosity (holes within the weld bead) and excessive spatter.
There is also a picture of a weld that either didn't use a shield gas or didn't have enough. It's pretty obvious that such a weld isn't going to be very strong.
Edit: From this Wikipedia article explaining the purpose of inert gas in welding:
Their purpose is to protect the weld area from oxygen, and water vapour.
And in what appears to be a bit of a contradiction:
Oxygen is used in small amounts as an addition to other gases; typically as 2–5% addition to argon. It enhances arc stability and reduces the surface tension of the molten metal, increasing wetting of the solid metal. It is used for spray transfer welding of mild carbon steels, low alloy and stainless steels... Oxygen causes oxidation of the weld, so it is not suitable for welding aluminium, magnesium, copper, and some exotic metals.
When you consider that atmospheric oxygen is almost 21%, the two to five percent used in inert gas welding seems pretty small. However, though I can find no definitive reference, I'd have to say that the prevention of oxides of the metal(s) being joined is a consideration only when extremely reactive metals are being welded. Instead, it seem that the prevention of gaseous materials (probably mostly water vapor) within the weld seem to be of the most importance. Also, considering the temperatures involved in welding, the creation of oxides of nitrogen from atmospheric nitrogen and oxygen would have to be a concern.