Why, Brian? Because he called it a "123?" I think the heat shield he means is the one I've arrowed in the photo. It can be in the way for some things but I've never had to remove it.
Jeremy
I'm not all that familiar with W124's. Is there a heat shield "between the air filter and the rest of the engine"?
It sounds like the shield that's right below the air cleaner on a W-123.