When using connecting parts to the bottom of engines, no shrouds appear. A quick peak into the engines cfg files revealed, that the ModuleJettison module (see: http://wiki.kerbalspaceprogram.com/wiki/Module#ModuleJettison) is missing. Without having Unity installed I would assume, that the shrouds model is missing as well.
Even though this is just an visual thing its very annoying, since the RD-0146N2 for example is an excellent orbital stage engine.