It’s a piece of plastic that guides air. Shroud, baffle, duct, whatever you want to call it. I’ve run plenty of servers without them just fine. The fans push enough air on their own. You really only need it if you’re running hot due to a lot of drives, cards, or sustained CPU or RAM usage.

And honestly, I’m not sure that this one would be doing very much anyway, considering the other CPU and RAM won’t have one.