RE: the Intel board,
Confirmed no IO plates, but look to be easy enough to find compatible ones on eBay.
No CPU socket covers from the sounds of it - they'll ship with the heatsinks attached. Hopefully they were cleaned and don't have TIM hanging off them before they were re-attached. I guess worst case ask them to ship with the CPUs pre-installed for your 'socket cover'.
There's a seller on Amazon that has the AXX2IOS I/O shield for $10 shipped. It took them absolutely forever to ship though (ordered on the 19th and still haven't gotten it!). Otherwise kalleyomalley has them for $12 + $6 shipping (with a Make Offer, so you could probably get it close to the same price). Alternately the 4 NIC version (AXX4IOS) is $9.95 or B/O on eBay and would work just fine. You'd just have two extra holes in the back you could cover up.
As for the heatsinks, mine came covered in heatsink gunk. The board was nicely padded in a huge box, but was not in an anti-static bag and they used regular bubble wrap, not the pink anti-static kind! I was really careful taking it out of the box and packing material and it seems to have come through unscathed (and no heatsink gunk got into the sockets), but it's still a little scary. Might be something to specify if you order from them (anti-static bag PLEASE!). I never thought there would be a question about it, but it seems that these electronics recyclers aren't that up on ESD procedures...
Amazingly, while the first board from comp-tec wasn't in an anti-static bag, the replacement (which thankfully showed up today!) was. Still had crappy padding though so the board could slide back and forth in the box 3-4 inches though. =(