the z840 cpu/memory shroud (same as the z820 shroud) has a 9pin connector that fits in a retainer that allows some movement so it can align/mate with the socket on the motherboard. check that this connector is not jamed or that the mating connector on the motherboard has bent pins
it is posible to install the shroud slightly off position, preventing the proper mating, forcing it into place when this happens might be the case of your problems as the shrouds connector can be poped out or mangled
i recomend laying the system on the floor, so the motherboard points to the ceiling, and then inserting the shroud as it's much easer to position it properly this way when properly positioned, it only takes a slight amount of pressure to make it sit flush and engage the shrouds connector with the mating motherboards male pin connector socket