Hello,
the message shows that there is no problem with the connection of TX&RX of Arduino board and NB-IOT shield, as well as the connection of NB-IOT board to the BC95 module. But there is something wrong when starting BC95 board. Could you please try reset the NB-IOT board after Arduino board powered on and post how you connected the circuit. (And have you plug SIM CARD?)
Hope this would help you.