Indications are that primarily this relates to strengthening of the existing criteria particularly in relation to lung conditions, and also that it includes renal dialysis patients.  The announcement also confirms that the current shielding period ends on 15 June, and that contact has been made with English GPs who have Welsh registered patients.

Guidance on shielding and protecting people defined on medical grounds as extremely vulnerable from coronavirus (COVID-19)

Associated FAQs: https://gov.wales/cmo-letter-extremely-vulnerable-people-support-explained

A further 21,000 people across Wales have been added to the shielding list: https://gov.wales/written-statement-coronavirus-covid-19-shielding-update