It might not seem to be much but it's still a glitch I found with them that's rather annoying. If you put a shader on them and switch the gear out it will not keep it's shader. Every other exotic armor piece I've had keeps it's shader except for the Orpheus boots which is kind of annoying since they're bright blue.
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I own Orpheus and I haven't experienced this issue. I've used multiple different shaders on it thus far including Iron Wolf, Raid Shader, and New Monarchy shaders on it with normal effect. This may sound dumb, but can you confirm that your actual shader count is going down with each application? It sounds like maybe you're previewing instead of applying.