This is the shield for the grate probe. It is located towards the back wall, center, of the grill barrel. This part serves to protect the grate probe from damage caused by shifting grates and keeps grease off of it, which if a build up of grease happens the probe will not be able to accurately relay the correct temperature to the control board.
In the manual for the Oklahoma Joe’s Rider DLX Pellet Grill 900 and 1200 models this is listed in the parts key as item #25.