Awesome thread, but wish I had read it earlier. I have a 2006 MazdaSpeed 6, and I just finished attempting replacement of my H11 fogs with some of the H11 19LED bulbs from Autolumination. Those bulbs are much dimmer than stock even, but I love the color, so I am pressing forward. For this application... actually for using any LED-based H11 bulb...removing the shield is a requirement. All of the LEDs I have seen are just not bright enough (unfortunately).
I will warn you guys.. take very much care with how you remove that shield. Like Rotus said, careful application of two sets of needle nose plyers is the only good option...
I attempted using a dremel, and the harmonic vibration of the cutting tool actually caused the glass lens to crack. So now, I am out $160 for a new fog assembly.
That's an expensive lesson to learn.