Thanks marco5. I tried to remove them again, but I'm starting to think that there are no heat shields there, here is why: I tried to jam a screw driver into the hole and turn, and all that I achieved was to dent the screw driver. I don't believe that a deformable heat shield would be made of a harder material than a tool.
I also tried turning the engine with the starter motor, and nothing.

Besides, this thread suggest that there are at least two types of prechambers.
85 300d prechamber difference - Mercedes-Benz Forum

I'm confused...