Just picked up a new shield 9mm no safety on a trade. The slide action feels beyond rough and gritty. Especially compared to my compact and full size. Is this just the captive double spring?

I don't believe the captive RSA would make the slide feel gritty.
My guess... There may be some actual grit in the slide channels, or it may simply need some 'exercise'.

Go shoot that thing!

and congrats on your new Shield.

Give it a good cleaning. I would run some toothpicks, then q-tips down the channels. I use just a bit of Lubriplate 0 grease on the rails.

Being an arthritis guy, everything hurts, so my perception of rough / gritty is pretty much non-existent.