In any situation, including a "wildernes situation", there are probably several immediate concerns you may want to be ready for. The shelter can be taken care of, to a large part, by the clothing you choose to wear in the conditions you are exposing yourself to. It would also be good to be aware of other natural hazards in the area (terrain and animal) and be able to handle certain life-threatening medical or human-confrontational situations. You could die quicker by an animal or human attack, a poor choice regarding terrain navigation or a heart attack than you usually can by not having shelter.

Water and fire, along with references, tools, navigation, communications and food usually are of lower importance than the things that address the areas of personal security, medical and shelter, imho. The situation will dictate which of those is the priority, but a lack in security and medical can usually end your life quicker than a lack of shelter.