Someone tried to steal my catalytic converter. Could it be damaged?

I got back from a month long trip and immediately noticed that the heat shield under the catalytic converter was scraping against the road. It had been ripped up and pulled down, but when I pushed it up with a stick and drove it around, it seemed to drive just like it had before. There were no lights on the dashboard, and no loud noises when driving - everything seemed normal. After about a week of driving around like this (I was going to take it in to get checked but didn't have time), the check engine light came, so I used my friend's automotive code checker, and sure enough, it was P0420 which indicates "the catalytic converter isn't functioning efficiently".
So I took it to a nearby auto repair shop... They:

• Removed the heat shield entirely, saying it's probably better to just remove it than have it dangling around all beat up
• Confirmed that the code was related to the catalytic converter
• They said I had an after-market catalytic converter so it could be related to that, but it's hard for them to tell (it's a used car, and the dealership said they didn't put in an a catalytic converter)
• They said they didn't see any damage or lacerations on the catalytic converter itself - but they didn't inspect it for very long.

After a couple more weeks the check-engine light disappeared.
Should I still be worried about it?
What could have made the light go on/off?
Should I replace the heat shield? Or maybe I should get something so it's harder to steal the catalytic converter?

Thanks,
David