What capacitors do you have in the filter? It is suggested to use the 33pF value as higher values might not give enough range on the inductors.
When the filter is adjusted correctly, normally the cores will be up near the top of the shield can -- not near the bottom.
Did they go into the boards OK? Sometimes the pins get pushed into the forms when the inductors are pushed into the board. If that happens, the thin winding wires may break off the pins.