I went to the range today with the Shield 40cal and had an empty shell stove pipe. That is a first in 4 or 5 hundred rounds. Is this because of the very cheap federal range ammo (100 rnds $27 dollars) or it there some other reason?

If that's the only ammo you've used it may be hard to tell unless it continues. After 1200 rounds or so my M&P9 FS had several FTE/double feeds. I replaced the extractor with the Apex FRE extractor and it's been issue free so far even with Winchester Whie Box which has a thin rim for the extractor to grab. You may not want to lose your warranty on a new Shield though. I would wait and see if it occurs again. I would let Smith & Wesson know though.