You must have something assembled incorrectly. When the correct combination of consumable parts are in the plasma torch (refer to operators manual) the shield connection is electrically floating. If you put a meter on the continuity check mode, put one lead on the tab on the retaining cap, and one on the plate...there will be no continuity, lower the torch and touch the plate, there will be continuity. If you are reading continuity continuously without touching the plate...then something is shorted.
Could be the part numbers for nozzle and shield are incorrect...could be either the nozzle or shield have a piece of blowback slag in between them shorting them together (common from piercing too close to the plate, the air gap between nozzle and shield is fairly small).