The ABS sensor shield guards the wheel sensor against road debris. Stones thrown by the tires can crack the plastic sensor housing. The shield also blocks heat radiating from the brake rotor. Without this protection, the sensor would overheat and fail during heavy braking.
These shields are made of thin stamped steel or aluminum. They can rust and rust-jack, bending until they rub against the tone ring. If you hear a high-pitched scraping noise from the wheel, check the shield.