Why do lead shields with a hole in it focus alpha particles?

"Focus" is a poor choice of words to use in this situation.

The hole acts as a filter, not a focusing element.

A hole with finite depth will only allow particles having a particular velocity profile to pass -- any other particles will tend to hit the sidewalls of the hole and be absorbed.  As a result, the momentum of the particles emerging from the hole will be fairly consistent in direction, and potentially random in magnitude.

Focusing is different -- think of light passing through a lens.  A lens that focuses the light will bend the light rather than absorb it.  As a result, the total energy of the beam remains the same, and focusing simply changes the energy density of the beam.

In contrast, the filter that is the hole reduces the total incident energy in exchange for consistency in the direction of the particle momentum.

It's 'focused' in exactly the same way as shining light through a hole in a piece of wood.  You are just blocking off most of it, and permitting a small beam

Lead is typically used because it is one of the best substances for blocking all kinds of radiatio.  For an example as to why the incredibly dense lead is preferred, imagine shining light through styrafoam vs. lead- if the styrafoam was not quite thick, you might see light coming through.  With lead, you don't need the filter to be as thick.  It is actually not necessary for alpha particles, which can be stopped by clothing or paper making lead optional, but is indeed needed for beta or gamma emissions.