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I want to play Romance from Gadfly by Shostakovich, but being in D flat makes it more difficult to play than if it were a semitone higher. I don't see any interest in composing in D flat for the violin because this way you lose the open strings and the natural harmonics.

What's the point of composing music for the violin in D flat?

The example you gave, Shostakovich's Gadfly suite, gives you quite a lot of the answer: music is often written for several instruments at once, only one of which is a violin. The Bb clarinet is no doubt thinking "whew, this score's key signature no longer looks so crazy".

Maybe Shostakovich associated his initial idea for that Romance so strongly with D flat major that he did not care how good that prominent violin sounds in that key, or maybe he only came up with the prominent violin part later in the compositional process.

Another reason that violin music is written in D flat major and other keys with no prominent open strings may be precisely because it's harder to make those keys sound good. There must be a reason why a recording of that Romance ended up on an album named "Virtuoso Violin".

And if you really want open strings in D flat major, there may be a scordatura tuning that allows for this. (Saint-Saens's "Danse Macabre" famously uses scordatura tuning so its violins can play those Eb-A parts easier.)

Oddly, I just Googled score images for the Romance from the Gadfly suite, and none of them are in D flat major. (They're most commonly in C major or D major.) Granted, Shostakovich's works not being in the public domain makes his original scores tough to verify without listening to them, and I have reason to believe that all of those scores are of arrangements.

Here's a slightly more Occam's Razor answer: it doesn't answer the specifics of your query, but in the general case of your title question it bears repeating.

I was once asked almost the same question about a piece i wrote -- a choral piece with recurring C♯ in the altos which provided a tonal anchor (i'm loath to say key). Anyway, i was asked, "Why C♯ in the altos? Why not C?" to which i answered: "It's what i heard." Perhaps composers of music in "difficult" keys would answer the same were they asked.

Regarding the question:
What's the point of composing music for the violin in D flat?
which was asked in the first post.

D flat major is not an easy key on violin, you don't get the same resonance from the open strings as you get in D major. But that can sometimes be a reason to write something in a key with many flats. This way you can get a soft and mellow sound that might me what the composer wants.

Whether this particular piece was original written in D flat I don't know, but if it was above could be a good reason.

I really wish there was an online score so we could see the original keys of the entire suite!

The only thing I can find is...
https://en.wikipedia.org/wiki/The_Gadfly_Suite

...everything else I find is some kind of arrangement.

Anyway, considering the Romance was only one movement from a suite, the key selection for the Romance could depend on the surrounding movements in the whole suite.