I own a Shield 9 with nearly 6,000 rounds through it, and here's my take.
Regarding feeding, it may be that your slide is not moving forward with enough force to propel the top round out of the magazine. I'm assuming you've already cleaned and lubed your Shield, in which case couple of things come to mind. 1. Don't use the slide lock as a slide release. It's not designed to work as a release. Use the "slingshot" method instead. 2. When slingshotting the slide by pulling it back as far as it will go and releasing it, don't "ride" the slide with your hand. Let it slam forward with full force. It won't hurt anything. 3. Be sure that the cartridges are seated fully to the rear of the magazine. A cartridge that is projecting too far forward is likely to catch on the feed ramp, resulting in a jam and a failure to feed. I use an Uplula magazine loader, and it makes proper loading quite easy. If you're trying to load by hand into a stiff new magazine, the chance of a mis-load goes up.
Regarding the slide not locking back, it should do so automatically with an empty magazine inserted. Without the magazine inserted, you have to lock the slide manually by pushing up on the slide lock with the slide fully retracted. On new Shield 9mms, that can be very difficult to do, because their recoil springs are notoriously stiff. Keep working at it, and you'll eventually be able to do it. As a bonus, you'll develop some more muscles.
If you're practicing loading with live ammo, I strongly recommend using dummy "snap caps" instead. It's much safer. Any place that sells ammo should have them.
If you can get your Shield to load and feed properly, take it to the range and shoot it before sending it back to S&W. Sometimes a thorough break-in shooting session is all that is needed to overcome new gun teething problems.
Since you're breaking in a brand-new gun, I recommend using high velocity ammo, at least initially. It will provide extra momentum to overcome any tightness that might be present in a new gun. One good affordable round I like is Winchester NATO 124g FMJ, with 1200 fps muzzle velocity and 396 ft/lbs of muzzle energy. It offers enough oomph to overcome any new gun resistance.
If none of this works for you, then it's time for your Shield to go back to S&W. Let's hope it doesn't come to that. Good Luck!
(Late edit: It looks like GerSan69, who posted just before me, came up with pretty much the same ideas as I did about solutions to your problem. This, of course, means we must be right!
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