My own opinion is that you should assume that the gauge glass is at the saturation temperature of the steam at that pressure. If it was actually cooler, then steam would condense in it, raising its temperature. The outside layer might be cooled by the air but the inside has to be at steam temperature. In large sizes you can sometimes see drips of water running down the inside of the glass.
If you can arrange a shield it is a good idea. A guy here in NZ had a quarter inch glass go on a 7.25 loco once, and a piece of the glass struck him on the cheek, causing a small cut.
John