Speaking of your battle with the Grey Knights player, your opponent was likely not thinking about the crisis suits tar pitting his DreadKnight. You absolutely made the right move, but there's a lot of players (my own group included) that often underestimate how "strong" Tau can be in combat (strong in quotes
That being said, dedicating a shield drone squad, or even a commander with shield drone squad to tarpit units is likely not a great choice. That's a lot of points to try and tie up a big ol maybe. Not every army is going to try to get you into combat, and combat in general is pretty bad this edition.
Focus on what did work: the Ethereal. Failure is not an option and the Sense of Calm special rules is what really made that tar pit work. The Dreadknight is only going to be able to remove so many wounds each phase, with or without invuln saves on your part.
In general, Tau Commanders should keep in mind that just because Tau are not good in combat, doesn't mean you always have to avoid it.