In 1937 the 480's and 490's still had their original "Master Mechanic" front ends in the smokebox. This is the same system the rest of the narrow gauge used (including mudhens and 470's). This system allowed more cinders to be shot out the stacks and more fires to be created, therefore the screen. The MM front ends were replaced by the present Cyclone front ends in the early 1940's. This design was more efficient in reducing the fire danger, and the Grande felt stack screens were no longer needed.
As the Grande started applying the flying herald in 1939 and the front ends changed starting in 1941, there was a transition period where a flying Rio Grande might have a stack screen. Seems to me I've seen a pic of 495 in fresh flying Rio Grande paint in Salida still sporting a stack screen,