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Firstly, removing them will invalidate your warranty on anything around the wheel area. That would be reason enough for me to leave them on.
Secondly, have a look at the rubber boot around the ball joint at the very bottom right of that photo I posted. In certain conditions the shield is acting to prevent radiated heat getting to the boot. Melt the boot, dirt gets in, wobbly steering.
Finally, I'm not sure where the brake dust, stones and other debris will end up. The dust is nasty stuff (as can be seen by the way it can corrode a wheel) and I'd be happier with it not getting on my brake and suspension bits.
And as FWH says, lots of cars have them.
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