The heat shield is there to protect the dust boot from excessive heat. When the dust boot cracks, you get dirt in the piston, or it corrodes, and sticks.

Rebuilt caliper should have a heat shield in place, or in the box for installation, I'd reject any that didn't.

An shield comes in the rebuild kit, as you have noticed. I don't consider them optional in ATE calipers.

Peter

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1972 220D ?? miles
1988 300E 200,012
1987 300D Turbo killed 9/25/07, 275,000 miles
1985 Volvo 740 GLE Turobodiesel 218,000
1972 280 SE 4.5 165, 000 - It runs!