Most after market headers do not run with heat shields. However, if a stock look is obtainable I would do it. For reasons of smog, selling the car, or getting puled over. An after market header sticks out like a hard on.

As for the exhaust bolting up to the cat. I believe 2.36 is only the diameter of the piping. The flange is not measured. If the cat is designed for your car as well as the exhaust and header then all the measurements should be for fit. Unless there is a disclaimer advising that modifications will need to be made. But if everything is bolt on for your yr. car then everything should meet up. Now with the ITR header, I believe some modification is needed to fit a GSR, but not the non-vtec Integras. So length wise some changes may be needed and maybe some re-positioning of flanges, but I don't think you will need new ones.