If your talking about the little black peice then yes put it on the new one cause all sorts of crap could fly in.
All kinds of crap flys in with it on. I've pulled leaves, feathers, and plenty of bugs out of there.
All that metal "shoot" does is direct the air tword the firewall to cool it. Look at the fire wall right behind your engine above the headers you will see the sister "shoot" that in turn spreads the air out over the firewall.
Again I would not sweat it, but thats me.