It all goes away...
With the proper extractor, you will have provision to reconnect your EGR line if applicable. If you don't have that, then disregard.
All the heat sheilds on the stock unit are eliminated when you remove it, a good reason to get one of the newer extractors that is either ceramic ocated (which also last longer and look better) or to go for a unit constructed of stainless steel. Stainless conducts/radiates heat at a very different rate than the normal mild steel used in extractors commonly used today.
If you get a unit that doesn't have the ceramic coating, have your engineer affix several nuts along the extractor piping, and you can fix a heatshield to the whole schebang, similar to the stock unit, which will keep the radiated heat from the extractor from getting out of hand. Stainless is the best choice for the shield, looks good and reflects/doesn't transmit heat as other materials would.
Wrapping the extractors in the heat insulating fibre blankets is an option, but can shorten the life of mild-steel units considerably, unless ceramic coated.
I've run a wrapped stainless extractor since 1987 and it still looks great when I pull off the wrap every several years for cleanup or to remove stuff I've buggered it up with---the wrap is nasty business to deal with but helps with underhood temps. Not as much as ceramic coating. I'd really like to ceramic coat another set of extractors and then wrap them to see how cool it would all stay under there!
Good Luck.