First of all, the heat shield there for reason when engineer design the vehicle. The guy at dealer could be right ( anything could happen ), but I think the way he explain it to you is bit serious. I do not know what kind of vehicle you have. Some cat is locate on the bottom of the car, and some is locate inside the engine bay area. No matter what, the heat shield will not cover the cat completely. Water, ice, stone etc can get in somehow. Assuming your car stuck in the snow, even the heat shield is there or not, the snow still touching the cat n caused whatever the dealer say. I will say it's better to have that replace since the vehicle has one when coming from the factory. Hope it's help.