So should I do it? Any down sides?

I think it was put there for a reason...just my opinion. But, I was wanting to do the same thing and get mine Jet-Hot coated for cosmetic purposes.

go ahead its not going to harm anything. How many zetec foci have aftermarket header on there cars and don't have the padding under the bonnet like we do. Mitch from Zx3tuning and a good friend of mine both have the powerworks kit on there zx3 cars.

Both pushing between 225-250 WHP and have no heat shield (after market header) no lining under the hood. They have zero harm to there cars which are running far hotter than yours is I am sure. so, don't worry about it take it off if you want.

p.s. my buddy running 250whp also goes to the track as many times as he can

I dont have the heatshield on my SVT header and havent had any problems.