OK, I looked at the box and they are Cardone. They came from the same foreign parts house that I have been going to for over 20 years, but I have noticed similar problems on all kinds of rebuilt brake parts that I've gotten from a variety of different sources. Missing bits of hardware seems to be a common problem. They are a matched set, though, both ATE. The rears are also ATEs, but the ones on my car are Bendix. Still, they look pretty much the same. I haven't removed the rears yet.

I did manage to carefully remove the best looking heat shields from one of the used calipers and install them on the new one that was missing one. Even if it wasn't going to cause my car to crash or anything like that, asymmetry like that really bugs me. I would think about one side having a heat shield and the other side not having one, every time I hit the brakes for the next year or so!

Thanks for the replies, moving on to the rear axle now...

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1976 Mercedes 240D, unknown mileage
1992 Dodge/Cummins 4WD, 284k