It doesn't have a heat shield because it simply doesn't go fast enough relative to the atmosphere to need one, it does not 're-enter' the atmosphere at nearly the same horizontal speeds the shuttle did (from full orbital velocity down to landing speed). Even so, the stresses from heating up, cooling down, launch and landing are such that they will likely magnaflux that whole thing from one end to the other just to be sure there aren't any defects, especially until they have more experience, they'll pick it apart and inspect each and every bit to see how well it performed. Later on when they have much more data they might decide to swap out parts only every so many launches if possible.