The timing shims are basically inserted between the pieces of the saber to achieve proper alignment. They are different widths, so using different shims on different pieces will produce different alignments, so you might have to try different combinations to produce the effect you want.
On the retention screw, you could likely find a replacement at the local hardware store, which would not invalidate your warranty. If you can't find one of the right size, then it would be a customer service issue.
On the hot LED, I would definitely contact customer service. This could be an indication of a wiring issue that they would need to fix in order to preserve your warranty.