A $20 filter clamped on the MAF accomlishes the same thing and saves you some coin. That poor excuse for a heat shield is a joke. It may improve throttle response just a bit and increase sound but will lose you a bit of horsepower due to heat soak.
I have it on my TDI, in fact this is the third TDI I have it on, the previous TDI had it for 80,000 miles and this one is up to 100,000 miles with the same filter.
No problems, just clean and re-oil every 50,000 miles, no MAF sensor ever died on me.
The main reason I love it is because of the nice deep sound it produces on a TDI.