The shiny plate yr looking for is called an escutcheon; it covers the hole through the drywall.
There are 3 types of stop valves: threaded, compression, and sweated. The posts I've read on this forum mainly recommend sweating. I guess it's the most reliable. I, a non-pro, however, chose compression. Here's why:
If I chose sweat, I would have had to put the escutcheon and drywall on first, before the stop. For me, this made sweating the stop a little tricky. The compression kind was easier to get on in my pinched situation. I figure if I have leaking probs, I can sweat one on down the road. Please, if any plumbers are giggling that I missed an easy trick for assembling the drywall/escutcheon/valve properly, advise.
I don't have an opinion on threaded stops.
FYI, all 3 types of stops are available at home centers; the one you tried may just have been poorly stocked. However, my policy (founded or unfounded) is to buy all valves at a plumbing supply store. I've read some horror stories about bad parts and really don't trust anymore buying anything but pvc and copper from the big stores.