Say for example, its a 3pF capacitor. Both Tektronix and Hewlett Packard sell HV probes rated at 5kV and up. I imagine there are others. The older Tek probes even had ports to refill with now-banned chemicals. The newer ones don't, but are more expensive.
Frequency response is a significant concern.
Designing and manufacturing a decent HV probe is definitely non-trivial if you need flat frequency response. Many parts have significant voltage coefficients, too, as well as breakdown voltages. This isn't easy. This shield acts as a capacitance to ground for the HV resistor, routing some of the high-frequency current which is supposed to go to the output, to ground. Most solutions can just as easily cause a region with a response hump, as well as a dip, or even both.