The MC can leak and not be readily visible. It runs down behind the carpet, out of sight.
The only heat shield that needs be removed is the one covering the slave, itself. It's difficult to remove. I've found it easiest by using a double offset box end wrench.

When installing the new slave, try to fill it before attaching the fluid line. After attaching the fluid line, leave the bleeder valve finger tight. Holding the bleeder at the high point, have the daughter loosen then tighten it as you press in on the pushrod. That should get any remaining air out of the system. It only takes a small amount of travel to do so.
Be sure the heat shield is installed between the nuts and the slave flange. Torque to whatever you feel is good and tight. I don't think you'll get a torque wrench in there.