I am not a scholar of Hinduism but I think Shiva's third eye is not a physical eye but it represents the deepest knowledge of nature and its actions.
Shiva reached the deepest state of meditation ever known and that's why people describe him as having a third eye as at the time he was able to see the things that normal people can't imagine by mind or through meditation.
Do any scriptures discuss the spiritual significance/symbolism behind the third eye?