Heat has to go somewhere.

You either let it escape or trap it. Both have advantages and dis-advantages.

The obivous pro's are that the hot air wont disapate into the overpipe and engine bay area. However the heat that cant escape is now making your turbo internals and housings hotter which can lead to cracks in the exhaust housing. Over time this causes the cast metal to expand at different rates causing a step in the housing, then the exhaust blades touch a little and cause permeture wear. This happens without the heat shield. So adding it will only make it worse.

wrapping the downpipe, and elbow to protect the starter is a better idea imo instead of the whole turbo.