You are right to be concerned about this. I looked at a house to buy one time that had suffered the fate of a grille fire. It wasn't pretty, the siding had burned up two floors and even burned out the roof overhang etc. before the fire dept. must have managed to put it out. I'm sure this happens and I'm sure it isn't fun.
Remember, heat rises, so I would carry your shield up a few feet above your grille and/or have it kick out a couple feet obove head height to deflect the heat (or flames) away from the house. I would also consider moving the grille. If not, I would NEVER leave it unattended.