A heat shield will not set off the CEL. The heat shield is not plating; it's a sheet metal cover that is manufactured to fit around certain parts of the exhaust pipe, converters, etc.
The heat shield will not normally clunk; it's more of a rattle or a buzz.
A loose heat shield can often be repaired by simply tacking it with a welder or inserting a few sheet metal screws in the right locations. A decent muffler shop should be able to look the exhaust over and solve the problem.
While not always 100% foolproof, one can also go to the rear of the car and hit the tailpipe on the side pretty hard. This can often make a heat shield rattle if there is a problem. (Careful to avoid getting cut though)
A preignition rattle will resemble something like a marble in a muffled coffee can. It may not be present when the engine is cold. It may be worse when the engine is warmed up completely and under a heavy load (passing someone, going uphill, etc.)