Hi,
Can you show the photo of your hardware setup? So we get the picture and might detect the problem.
The connection is sufficient enough, 5V, GND and 2 UART pins. If the status light is blinking, it means PS2 receiver is not detected. It might be caused by the device defect or loose connection. Try to stack the PS2 shield back to Arduino Uno and see if it is still working as before.
Hope it helps.