Yeah, important can mean a bunch of things. They help hold the heat in the exhaust to spool the turbo. They help prevent melting of the plastic under tray, or anything catching fire if you drip some oil down there. But many people use aftermarket headers that dont fit with the OEM heat shielding and are just fine. As spamby said, you should try to ceramic coat and/or heat wrap them, but its not the end of the world if you dont.