I found this thread->http://forum.arduino.cc/index.php?topic=28721.msg212650#msg212650 and i had the same problem. So i plugged the radio (xbee) to the Xbee USB Adapter and throught Xctu program i burned to the xbee the value 9600 at the field baud rate. Then i plugged the xbee to the xbee shield and loaded some examples.. It worked! I suposse the shield's components (capasitors, etc) supports only 9600 as baud rate.
Hope this help..