Would a deshielded bearing affect the play ???
It would allow dirt of other particles to enter easier, which you would have to clean it more, or use compressed air to get it out.
In my opinion, it actually does, plays smoother for me.
The difference in play isn’t big, if there is any. When you have shims, a shield-less bearing eliminates the problem of the shims pressing against the bearing shields, and slowing the yoyo down. However, when you have the shields off, dust and particles can get in there easier. Personally, I don’t think it’s worth taking the shields off. I suggest you just leave it as is.