If you get an oil leak the foam traps the oil and can become flammable. (this is primarily an AUS thing if you do country work, oil and the fractions/seeds and fluff from spinifex when coated in oil becomes very flammable)
it makes inspections on the engine harder and hides leaks as well as in some cases making the apparent leak point move.
Removing the heat shielding shouldn't change the fuel consumption of the vehicle normally but in proper cold weather would extend the warm up times.

