For over a year I have used dust shields on a W210 and W124, with no problems. It seems the down sides on their use concerns rotor warping. Recently I talked with my independent service man and their experience is the rotors are OK, it is the calipers that get cooked over time and eventually fail. He showed me a pile of ruined calipers they have replaced and the dust shields that went with them. His recommendation is do not use them.
I have used this shop over twenty years, and know they are staight shooters. I took my shields off. Since I have peviously endorsed these things, I figured I had better "fess up". Ed