What might be wrong with my Sheltie?

It sounds like to me your dog is just lonely and wants to spend more time with you. He has had the same problem adjusting to the big change in your household as the humans have. (Dog's noses frequently get warm, especially when they are sleeping, so I wouldn't worry about that.) If your dog continues limping for 2-3 days, then he should go to the vet, but sometimes they just do that and then it goes away. You said your dog seemed happy and ate a treat. As long as your dog is eating normally and drinking normally and playing normally, I would not worry too much. Just try to give him a lot of extra attention. Try to think about him as a small toddler who would need lots of love and extra affection to get over the change that happened in your house. Changes like this make dogs anxious, just like they do people.