When did you buy the cooler?
"Note: Customers that purchased coolers before the inclusion of support for socket 1155/1156, can purchase the separately sold ZM-CS5A or ZM-CS5B mounting kit for installation onto socket 1155/1156. The mounting kit ZM-CS4A can be purchased separately for installation onto socket 1366"
I bought it before 1155, thanks for telling me about the mounting kit. Would it work on 1155?
Edit: I just looked and it's out of stock, but would work for 1155. Should I install the heatsink without it?