I have the same setup but I am missing the belt buckle and the little spacer gauge. I have about 4 different grips with mine. I do not know what that thing is either, my set has nothing like that.
As far as you not bringing an Allen wrench with you, if I am not mistaken, the tool should have all the Allen heads that you need for everything. Mine is not handy right now so I can't test that theory for you!!