It was broken in transit - it should be all one piece. Mine arrived the same way. I was expecting them to have better packaging by now, but it appears they haven't improved it.
If you have a soldering iron, you can use it and some of the sample filament to weld the two parts together.
I posted about the same problem way back in Feb. The forum search engine is weak, but if you search for 'but damaged' (without the quotes) you should see what I did to fix the problem.
Just received my machine, same problem. I've glued it back together for now, but it's disappointing to receive a new machine just to find a rather critical part broken :(