I looked into this recently and had my own queries about it.
I don't think isn't actually a heat shield despite what the dealer guy called it, and its not called that in the VW parts catalogue system (I have access to this for work). I think its called a sound absorber, and as mentioned the Clubsport S didn't have the sound absorber (its like paper and weighs about 300g when I took mine off).
Other vehicles on the similar platforms within VAG with vastly more power don't have these fitted as the pad retains heat under the bonnet, Audi RS3 and TTRS just 2 examples. The under bonnet temps on a 400bhp + RS3 must be way higher than the Golf. They are likely not fitted as the metal bonnet is very good at heat dissipation, as heat wants to radiate to the coolest point in all directions making it good at mitigating temp.
IMO VW didn't need to fit them as they don't do the primary job either of reducing meaningful noise, and would have saved endless warranty replacements. Mine has been off for months and the bonnet isn't really hotter on the long round back from Europe and the cabin isn't noisier (tyres being the primary noise at speed). The metal on the fire wall behind the turbo appears to be for heat and has similar sound absorber behind it, and that is the correct product in that location. You could assume If VW wanted to put that on the bonnet to reduce heat they could have done, but chose to fit a sound absorber for mostly idle speed mechanical noise reduction it seems.