Hi,
It could well be what you first described, a Heat Shield. Porsche uses a Fastener which is essentially a self-tapping sheet metal screw and the Heat Shield is a light gauge metal, not a very effective design, except perhaps cost effective for Porsche I assume.
Over time, the Heat Shield metal experiences some fatigue and the hole gets a little out-of-round causing the screw to lose some grip and allowing a rattle.
Once the Heat Shield heats up, it expands slightly and it's resonance frequency changes slightly, but usually enough for the rattling to stop. My Driver side bank has such a rattle and I'll probably replace the screw with a small SS machine screw and nut to fix it for good. Start you car cold and get on the ground by the Heat Shields and see if this isn't your issue as well. Hope this helps...
Happy Motoring!... Jim'99
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