Either you've a different battery compartment design (unlikely, but probably not unheard-of very early in a product's life cycle) or they just didn't get put on .
Mine are flat, sheet metal covers with four bent rectangular tabs that fit into four square holes. When put in place and slid toward the top of the calculator, the tabs hold the cover against the case and batteries. A plastic tab toward the bottom of the battery compartment holds keeps each cover from sliding back (and hence, off). (This is all illustrated in the owners manual, right?)
It DOESN'T appear that the metal covers provide any electrical connection. (If your calculator turns on, that would sort of PROVE that sage observation, correct?)
You should contact H-P about a replacement, but I would hold off actually mailing the thing until a replacement is in your hands. It may be a while before they have service replacement units available.
Meanwhile, my impression is that the batteries fit snugly enough that you shouldn't experience a problem unless the calculator is dropped. You might consider something lik squeezing ~1/8" of folded paper or Post-It on each battery, which would then hold them in place when wedged against the plastic compartment cover.