A couple of thoughts from my end, since I've been here recently (not with 'zero' pressure, but from a disassembled (Gen3) engine due to freshening it up.)
The screen is a fairly common issue. And as was mentioned, this is pretty innocuous. You still have pressure; it's just that the oil can't get to the sensor.
I prefer the Teflon 'goop' (usually white), vs. the tape on that fitting, especially when it comes time to permanently re-install it back in place. If you're using the tape, only put it on the first few threads nearest the plug end, so that none of it breaks off & gets distributed through the engine.
You mentioned that the engine was just rebuilt. Hearing that scares me a bit, because of the things
@MRRSM mentioned about the pickup tube connection. See the three different flanges in his picture? There are different o-rings to use, depending on the flange type. Hopefully, they (a): Used the 'correct' one, and (b): Installed it properly.
If it's wrong, usually you'll see 'zero' pressure on the first start (and it really *is* zero, too, so shut it down immediately). Hopefully, this isn't the issue with yours. We'll come back to this in a minute.
If you can, crank the engine without actually starting it, with the test gauge connected. See if it builds any pressure at all. Note that the crank bearings will float in oil with as little as 4psi of pressure, so if you get *low* pressure (like 10psi), you're still safe. GM's spec for the LS is minimum 6psi for each 1000rpm; 10psi per is considered adequate, and if your engine was registering more than this before it was rebuilt, it should *at least* have that same pressure, after rebuild. Especially if a new oil pump was put in, or even better, a high-volume and/or high-pressure pump. With the Gen 4 engines, a high-volume pump was OEM, btw (due to the AFM lifters, etc.)
If you have absolutely *no* pressure at crank (you won't have full or close to it, because the starter alone
can't fully pressurize the engine), you need to decide if you want to start the engine or just have it taken to the rebuilder, at that point. If you start the engine, you should have immediate oil pressure. Don't rev the engine. If the gauge shows zero (and the DIC shows 'low oil pressure', if you have the DIC display)... shut it down. It will only take a few seconds to trash the crank bearings & damage the crank journals soon after.
As was mentioned... to check on the o-ring for the pump / tube requires the pan to come off - not just for the pump side connection, but to undo the retaining nuts that hold the tube to the engine (just below the windage tray). Because the tube isn't going to move very much without those nuts being at least loosened, if not removed. Well... it'll move if you *force* it, but that likely bends the tube. The other way to get the o-ring replaced would be to remove the pump (which is a front cover removal, and then the pump has to be aligned when reinstalling it, as well as installing a new front cover seal (and making sure *that* lines up perfectly, as well.)
For this reason, I would not try diagnosing the o-ring connection, myself, if I had just had the engine professionally rebuilt. Bring it to the shop, explain that you have *no* oil pressure, and let *them* repair it properly. That's why you paid them to do the job, of course, and if you go tearing the engine down yourself, you may 'void' whatever 'warranty' they provided.
Good luck to you, and let us know the outcome. Our collective fingers will be crossed 🤞