Just a heads-up to those planning to buy the Sennheiser MKE-400 DSLR video mic-- be careful!
I had BOTH those things happen to me, but I still love that mic. I just taped the rubber mount when it partly broke. I also had to buy a new windscreen, and for some reason the replacement one seems to stay on there a lot better than the original did.
My shock mount broke after a few weeks. In addition to being expensive they were back ordered. It took a long time to get a new one sent to me. I guess we're not alone. I got the fuzzy wind screen and it rarely comes off. It clicks into place and pretty much stays there. The only drawback is that it make you look like you have a mouse sitting on your camera. I kinda like it:)
My foam windscreen slipped off as well, but it did not really keep the wind away anyway...
I've used both the Rode Video Mic and the Sennheiser. The original Rode had a pretty weird shock mount, but was a very good mic. When the paper finally bought mics, they went with the Sennheiser MKE-400. It is just as good, smaller but I experienced the same issues with the screen and the mount. I ended up rebuilding my mount to make it more durable and I'm on my fourth windscreen (replacements at B&H). I put a plastic cinch tie at the base of the screen. Now it doesn't fall off, but just wears out. The new, re-designed Rode VideoMic has fixed the problem of the shock mount and look smaller in the pictures of it. It was released this spring. But we are going with the Audio-Technica 895 short shotgun now. It is comparable in price to both the little ones, but is an actual pro mic. XLR, not mini-pin, not much bigger than the original VideoMic and much better quality whether used on an HDSLR, as I do, or with separate audio recorder. This shotgun and a Sennheiser wireless kit is all I ever use now.