Olympus did advise that at least the 14 mm extension tube was added to their 38/2.8 and 20/2 macro lenses, so these should not be mounted straight onto the camera itself. My observations on the 20/2 and 38/2.8 bear out this recommendation.
The 20/2 will give quite short working distance, but is in no direct need of a lens shade.
Both Olympus lenses need to be modified for use on an F-mount camera as they have automatic aperture operation which is splendid on their designated native camera, but prevents the actual aperture being reached otherwise. Modification is simple: just rip out all the couplings for the aperture stopping down feature. Pull in the right spot and all bits and pieces to be removed come out together. Including a number of tiny ball bearings if you are puzzled by the popping and clicking sounds these make as they became free and disperse themselves all over your work place
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The Olympus duo performs best only 1 stop down from wide open. Thus I only use them at that setting. If you need more depth of field, focus stacking is the way to go unless you have a skittish subject of course.