I have had the dust shields on my 300SD for the entire 7 years of my ownership and have never noted any negative affects to performance.
Shortened rotor life has also been mentioned as a reason not to use them but I haven't experienced that either.

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Joe

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1980 300SD - 495k miles - 'The Ambassador'
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Former Family Members
95 C280
73 280SEL
90 300D
87 300SDL (X2)
86 560SEL
84 300D
80 300SD