Rhogam is not given to protect the baby--it is given to the mother to prevent her from developing antibodies against the baby's blood. Exposure is not expected to occur until birth, so Rhogam doesn't do anything in terms of the current child.

Instead, it enables the woman to avoid problems with any FUTURE + blood type children she might have--to prevent her immune system from attacking the fetus. If there aren't going to be any more (for certain), then the shot is unecessary.