I'm running my '02 Golf TDI without the engine cover. During my recent 80k mile TB change, Herm TDI recommended that I leave it off. It hasn't been back on since.
Here's why:
* Easier maintenance. No hassles with taking the cover off and putting it back on.
* Easier to spot any problems developing, i.e., leaks, etc., before they become big problems.
* The cover doesn't provide much thermal insulation at all. I ran mine without the cover during the bitter cold we had in NH this past January, without any ill effects.
* The cover does provide some sound insulation, but not enough to justify leaving the cover in place. Besides, I LOVE the "Dieselness" sound!
* After reading the "My Car Caught on Fire" thread in the forums a couple of months ago, I'm glad I removed my engine cover. Whatever the cause of the engine fire, the foam insulation burned like Napalm and did a lot of damage to the glowplug harness, fuel return lines, and CCV hose. What started out as a small fire quickly turned into an inferno until the cover had completely burned up.
* I'm anal about doing preventive maintenance on schedule, but I'm also very lazy when it comes to things like the engine cover. I may hang mine up on the wall as a souvenir.
Just my $0.02 worth.
~ n1das