As mentioned the little ring goes onto the freehub body before putting the 3 large cog carrier. It acts as a tiny spacer. You need it.
Also....check the spacers. If they say "105" in white lettering along the OD then you put the cassette on worng and damaged it. You can't mix 105 and Ultegra. It can lead to explosions.
If you send it to me I can dispose of it properly.