What should I do if after shear off the bolt heads I still have some parts of the head on the connector?
This depends on the design of the connector. Some of them have only one grooved, which looks like a neck. In this case, it is very likely some part of the head will remain above. More often it happens when you use the maximum size of the cable that matches the connector. One of the reasons for that can also be low-quality material and wrong calculated force for shear off. That is why it is important to choose a supplier with a wide range of connectors with accurate sizes and matching tools.
In case you still need to deal with some parts of the bolt left on the surface of the connector, you can file it away because they can damage the heat-shrinkable sleeve. We also recommend removing all metal filings before shrinking the tube or sleeve.