No, you're not missing a seal. Badger sometimes does put an O-ring between the head and body. It reduces the tiny air leak that comes from this connection. But it's so insignificant that it doesn't really matter. If you put some soapy water in this gap, you will see some small bubbles when you spray. They are no big deal. If it bothers you, put a little bees wax or Chapstick on the threads. Enjoy your Patriot.
Don