Yoko, I don't think there is a huge issue there. Washers, or "washers" made from sheet metal and holes drilled can be used to hold that heat shroud on. If any attaching screws/bolts broke off that hold that on, a mechanic should be able to drill those out and repair. I don't think I'd run without it, it's there for a reason; I doubt a replacement part would be costly, it's not really a precision-made part. That part would be dealer-only as new (if still available) or from a parts yard.
As to the oxygen sensor: there's always a chance that removing it might damage the threads in the exhaust manifold, I don't think I'd remove that unless there's a driveability issue.
As to the oxygen sensor: there's always a chance that removing it might damage the threads in the exhaust manifold, I don't think I'd remove that unless there's a driveability issue.