Iran does not have a million of them, the numbers they have are better utilized on targets in Gulf states.
If Iran launched 10000 Shaheds towards Isreal, you can be sure quite a few would get by.
Maybe Ukrainian drone interceptors can be made cheap enough to be good enough against massed Shaheds.
We are still early in the new paradigm, there will be significant developments.
APKWS interceptor is about 35K USD and works much better than drone-based interceptors. The problem is to scale the production, training and deployment. Another problem is detection. One needs wast multilayered system that US military missed to build as big stationary radars are very hard to defend.