New Shimano 11 speed road chain problem
All Shimano chains I've fitted recently have come with a special connecting pin in the box, rather than a pre-fitted flat pin.

This dealers' manual for Shimano 11 speed chains only describes use of the bullet-shaped connecting pins: https://si.shimano.com/pdfs/dm/DM-CN0001-02-A-ENG.pdf

You can buy packs of 3 or more. Fit one then to avoid long walks, keep the others in your wallet or in your puncture repair kit.