SHBG is a complex molecule and its role in hormones is just yet to be understood. SHBG being too low is just as bad as it being too high, much like with anything else regarding hormones, balance is key.
Dr saya mentioned to me that SHBG has been found to bind to its own receptor, and its roles are being studied currently. I found an article finally that he was talking about I believe, except it's a bit more interesting.
"
Over the past several years it has been shown that, in addition to functioning as a regulator of the free concentration of a number of steroid hormones, SHBG plays a central role in permitting certain steroid hormones to act without entering the cell." - http://www.sciencedirect.com/science/article/pii/S0960076099000709