I have run them both ways and the only reason I have them on my Bronco conversion is that I wanted it to look like factory discs. Not sure why that was important at the time.
Doing a D60 swap on my sons F250 and I tore them up getting the spindles out but didnt care since I didnt intend to put them back anyway. I drove a 55 chevy that I made the conversion for and used it for over 100K miles and never had an issue related to not haveing the shield or brake dust on the wheels.
I have often wondered why the auto makers spend the extra money to put them on anyway. Like was said above they seem to cause more issues than they prevent. I guess they offer some protection from damage to the rotors but they are usually so flimsy I cant imagine that its worth the expense.