Heat shields are only a fail if it creates a fire risk with a part of the fuel system, 6.1.3
“Only fail a vehicle for missing heat shields if there’s a risk of fire with other fuel system components.”
In practice I suspect you have to be unlucky for that to ever arise, because the tester has to a) know there’s a shield missing, which they might not, which also gives them plausible deniability so they can choose to pass you without risk to their licence, but also because b) the fire risk is so open to interpretation.
But aside from fails, they can still be a really good idea. Backboxes and catalytic converters especially can get very hot and sometimes you have stuff nearby that doesn’t want to get hot- spare tyres, alternators, bits of plastic. Contents of your boot, sometimes! Weird unexpected stuff, like on a mk3 MX5, the right hand engine mount can get cooked and harden and fail early. I mean, in general global car platforms mean the heatshields are designed for the hottest place they sell the car, but that doesn’t mean there can’t be little local bits that don’t want to be hot.