I don't seem to be able to get an image in here, so I will paste addresses for the Flickr images.
The first image shows my kit from the top.
The second, from the underside:
The 3rd is of the Arduino, the Protoshield and a Linksprite LCD shield stacked. The uninserted pins from the LCD shield have been forced outwards by the offending female connector, but the problem is that that connector is slightly to the right of the correct position when seen from this direction and so the pins won't insert.
The fourth is of the opposite side, showing that the pins insert ok.
Finally, the 5th shows the underside of the board at greater magnification. The offending connector is seen on the right from the solder side. Compare the alignment of the male and female connectors on this side with that on the left. You will see that the solder lands for the female connector on the right are shifted downwards slightly with respect to those for the male connector, whereas the connector pair on the left have the male and female connectors aligned.
I hope these images make my problem clear. You should be able to check my assembly from the first two images but, to me, they look the same as those shown in your Linksprite link.