What is this?

[MrChris]

Please can someone tell me what this is? Can I remove it? Should I replace it?

It's in the engine bay to the left as you look down.

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[Dev]

It looks like one of the many exhaust shields. You can remove it.

[MrChris]

It looks like one of the many exhaust shields. You can remove it.

Good to know it can be removed, weight saving and all that. Why is it in there if not needed? What is its purpose if the car is fine without it?

[Dev]

Good to know it can be removed, weight saving and all that. Why is it in there if not needed? What is its purpose if the car is fine without it?

  There is shielding in the form of a barrier to separate and lessen the migration of heat into the engine bay from the muffler.
  Because it is a production car they makes sure all of the bits are designed well but in reality the amount of effective shielding is not that great to make an actual difference.

Generally you want to keep the engine bay cool where all of the electronics, wiring and plastic does not suffer the degradation with heat over time. Also it is to keep the intake air temps lower. 
 Most enthusiasts that modify have removed them without any ill effects. If this concerns you I would get one from a breaker and replace it.

[J88TEO]

I have a spare one if you are looking to replace it.