The gap is just a visualization artifact. When thickness is visualized, Mechanical simply projects the face of the shell element along the normal vector. At the top of the shell, the normal of the pad elements point along the axis of the nozzle, so no visual gap is created, but on the side of the shell, the normal points out and a visual gap appears. Notice that when you turn thickness off, there is no gap.
The pad is properly connected as shown by the yellow and purple lines. A red line means no connection. The pad shows a red line on the ID hole. I suggest you use SpaceClaim, Split Body to split the pad with the nozzle and delete the thin surface at the ID, then you should just see a yellow line at the ID and no red line.
The stress concentration is real.