I had the same heat-shield rattle problem in my 95 Golf which is the main reason I switched to a Brospeed header

As a temporary fix you can have someone tack weld it together. There might be a place to shoot a few sheet metal screws through I dont remember. Definitely leave it alone until it makes noise again though. You might want to look to make sure they didnt remove the heat shield for you. That will eat away your shift linkage bushings in no time.

It seems most dealers have good and bad experiences. Try to find a mechanic at the dealer who is an enthusiast make friends and ask for him every time. Most people get the best service by having one person work on the car instead of a different person everytime.