Bandai is pretty good about listing all the various parts for the figures. There was no mention of canopy/heat shield parts so I think we can conclude that those don't need to be swapped for transformation.
As for the gunpod, there's no additional "parts" for it mentioned in the Bandai listing, only the gunpod itself. It looks like it collapses, and indeed it looks like it slides into the left arm SAP module, but I wonder if it can be inserted all the way? It's sticking out a bit in this picture here:
And with this crude Photoshop of mine, you can see the size of a "collapsed" gunpod next to one of the arm pieces: