I would not use a metal sheet; I would use a 5/8 thick drywall sheet over the plywood, nailed to the plywood and have it extend at least 2 feet above, below and on each side of the tankless water heater as well as on the ceiling above.
You should be able to find installation instructions on the manufacturer's website: they will have precise specifications for what you need to do.
Worst case, you'll have to install a layer or two of fire rated ("Type-X") gypsum board over the plywood: not a big deal.
Check the electrical requirements, while you're at it. 5.5 kW isn't much for a house, but may exceed what your shed is wired for.
Plywood is combustible, which is slightly less dangerous than "flammable". So are the wooden studs in the wall (if it's that sort of wall. However, in all the installation manuals I have ever seen for 3.5kw to 28 kw electric water heaters, they are NOT concerned about combustible mounting surfaces, but rather clearances around the front, top and sides (e.g, 12 inches from combustibles).
Wood is combustible, even if encapsulated in gypsum or ceramic tile. However, that would only be a concern when installing a much larger source of heat (furnace, fireplace, boiler, wood stove) requiring a 36-inch clearance from "combustible structure", unless certified otherwise or the combustibles are shielded (INCLUDING an airspace), per NFPA codes. Been to many house fires caused by insufficient stove/connector clearances, which may take 15 years to cause a problem, but you'd better hope someone's around when it does...
Were you inclined to install a "shield" of some sort, you could certainly mount the heater to a piece of cement board ("tile backer") or metal or other non-combustible material, and then mount that to the wall with one-inch stand-offs (e.g., screws sleeved with a one-inch length of copper tubing). That way, you will have at least tripled the convection flow of heat away from the mounted side of the heater, where air will naturally flow into the space, warm up, rise, and carry the heat with it.
參考: fire inspector, engineer