I just went through the install myself this past week. Tip #1: Don't be like me and assume your wheels will fit. Make sure you have an offset that will clear Brembo brakes. Tip #2: If you can't get your hub assembly separated from the knuckle, you can probably cut down the sheild enough to get the rotor to fit and still have proper clearance with the caliper and rotor. Without the shield, on my car anyway, the rotor was closer to the inboard side of the caliper. With part of the shield between the hub and knuckle still in place, I think the rotor would be centered in the caliper, or just a bit closer to the outboard side, but with enough room to not be an issue. Bottom line, instructions say to remove the shield, so do it if you can.
Otherwise everything went as planned. My measured weights for the rotor and caliper assemblies are as follows: Brembo with all hardware, pads, bracket and mounting bolts is 12 lbs even. Stock caliper with all hardware, Hawk 5.0 pads, bracket and bolts is 15.9 lbs. I again went with DBA 4000 rotors, weigh 21.8 lbs in stock fitment and 20.5 lbs in 2004 STi fitment. Total weight savings per corner on my car is 5.2 lbs.