I got a call out to my sister to see if I can borrow her digital camera.
Someday maybe I'll buy my own.
Seriously, I just checked again, and on the back side of the sheild its clearly been scuplted as being strapped to his arm. There is also a cape that can be attached to a small hole at the top of his back.
The other two knights have arms loose with shields attached, but what's interesting about those is each shield has a slight crack in the metal at the bottom, probably some sort of molding issue.
The 3 horses for those three riders are all the same, and one piece with a single wide slot at the bottom, no armor, but instead more of a Bretonnian look to them, yet without the hood, and being able to fully see the horse's head.
At the same time, the two other knights that came with the guy in the picture look like they could be Empire or Bretonnian, and such was the style of the various figures back then.