Errr...but what are you trying to shield against?
The IMU (not the compass) contains accelerometers and solid-state gyros. These rely on gravity. If you're trying to shield against electro-magnetic interference (EMI), you need Mu metal. If you're trying to shield against radio frequency interference (RFI) you need a Faraday screen.
As it is, given that the lead shield is not grounded and lead is not ferromagnetic it's not acting as any kind of EMI or RFI shield. It might shield against some low energy gamma rays but the shielding is not very thick. See https://en.wikipedia.org/wiki/Lead_shielding