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
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.