It looks like there still is one in there. Insert a pair of needle nose pliers, open, pull out heat shield. Replace with new ones. For reference, here's what it looks like when they're out http://www.peachparts.com/shopforum/showthread.php?t=265035.

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1983 240D 3.0T 4-speed manual, now sold

1989 Subaru GL Wagon 5-speed Touring Edition