Interesting fashion statement.
Since the Natives had been subjected to all the forces of nature their whole lives, it makes one wonder what would have caused a new circumstance. Gamblers, of course, wear shades to hide their thoughts. Drug users also wear shades, both to hide their dilated pupils, but also because their dilated pupils need more protection from bright lights.
I wonder if the practice of Peyote rituals was spreading through the plains at that point in time? That might explain their sudden desire to wear shades.
Other than that, maybe they were just trying to look at the world differently.