You may need to re-seat the dip tube by loosening the Allen bolt on the retaining ring and sliding the dip tube back and forth a bit until the o-rings seat properly, then re-tighten. As Demon mentioned, it will still come out with a good yank.
As for the heat shield, I've had my Boilermaker several years now and the shield provided was just a piece of metal, no slot. I may have gotten it before Blichmann started offering burners. Anyway, I just make it work with my hurricane stove.