Found this on another bike forum, the link might be handy for someone . . .
I started to install the cassette on the bike I am building and as I read the instructions from Shimano I noticed that the Shimano chain I had purchased was not listed as compatible. They are both Ultegra and both 10 speed. Upon investigation one person said they had the same issue with the same components. He called Shimano and the rep said that the chain wasn't listed as compatible because they did not have space to list it ( now that sounds suspect ). The rep said that the combination would be ok but that the chain might stretch more quickly under strain, again a strange statement.
Anyway, research revealed a web site that lets you check Shimano component compatibility. Here is the website: http://www.celebrazio.net/bicycling/shimano_compatibility.html
i found it to be user friendly and informative. I'm willing to bet others have had similar experiences, maybe this information will help. It seems as if Shimano is getting carried away with a large variety of parts within a line of components, very confusing and somewhat frustrating.