I haven't bought this set (yet), but -
There's enough goblin parts per sprue to make five goblins - three infantry, and two cavalry. The cavalry legs, I'm told, are suitable for gluing to a base to use for infantry, too, and that these looks best with archers - some of the illustrations seem to show some goblins assembled that way:
Not sure about the shield with the hole in it myself - I'd mount it to an arm or back as-is, and if it didn't look right, use just a bit of trimmed plasticcard or sprue to cover the hole.
Depending on how you feel about modeling/sculpting, it should be pretty easy to use a bit of green-stuff to sculpt a crude face or skull over the hole.
I can't tell how flat that shield is, but it looks to me like that shield might be reversible - a nice wooden texture on one side, and a flat/smooth surface on the other - so that might be what the sculptors had in mind: mount the shield with the side you prefer facing out, and fill the hole if desired. The shield might also be meant to be mounted over lance, with the lance poked through the shield? (Not sure how weird that looks.)
If none of that works for you, the Dark Age Irish have about twice as many shields as they need, and their bodies and equipment look suitable for a goblin army - just give 'em some of your leftover goblin heads! (The Irish even include some small "wargs" for your goblin army!)
Here is what it looks like stuffed with hobbit head.
