Good question, I think it's necessary to meet strict FCC standards, but if it actually makes a difference in your home, you'd have to try a before and after I think. Stuff like HDMI isn't particularly susceptible to interference, it's analogue video like SCART etc you'd have to watch for I believe.
Considering that the pegs holding the CD drive are on them, and that the console won't work right without the CD drive, you'd have a difficult time getting it working without the shield. I mean maybe you could use an ODE (not the Satiator) but even then you'd have to seat it somewhere.
I recently got the terraonion ode for my mk1 console, so no more cd drive:). And I thought if I could get rid of the RF cage(kinda in the way), plus it might help with heat ventilation- m/b longevity etc?? On a side note I did consider the Satiator, but I found it expen$ive- terraonion was bad enough and I wouldn't be able to use the VCD card. Terraonion plays VCD bin/cue's btw in case anyone wondered.