I just discovered that I appear to have a defective Lord Shaxx. When I was rearranging my collection display today I notice that both his lower leg pins don't actually go through the holes in the boots completely enough to stay connected , thus making them fall off if you bend the leg much at all. I just filed a replacement request on the website so hopefully this not be an issue.
Just though I would give folks a heads up to check your Lord Shaxx to see if this was a one off fluke or a common mistake that needs to be address by Mega.