Glossary
WAL index (-shm file)
The shared-memory file (-shm) that SQLite uses to find pages in the write-ahead log quickly. It can be rebuilt and holds no unique evidence.
Next to a WAL-mode database, SQLite keeps a -shm file: the WAL index, a shared-memory structure that "helps readers locate pages in the WAL quickly" (sqlite.org). It is rebuilt from the WAL when needed.
For ActivitiesCache.db, collect the -shm if your tooling takes it, but the evidence is in the database and the -wal. The Windows Timeline Parser lists a dropped -shm as "not needed" and ignores it. See ActivitiesCache.db location and acquisition.