the air shutter should close down when oil isn't being pumped into the burner. anyway this isn't the problem. in my experiance it is one of three things, 1 photocell 2 control box, or 3 injector (nossle). it's nearly always 1, but since you have changed this, that rules that out. you said you also changed control box. it would be worth pulling off control box and look for any damage/rust etc to connecters where the box meets the burner. I don't think it's the nossle but if you want to change it here is how. pull burner out of boiler. remove blast tube by loosening the two philips screws, a good tip is to put the screw driver in the screw head and give it a little tap with a hammer to jolt them and makes it much easier to screw out. now you'll find the nossle and electrodes, check the electrodes to see if they look ok. you remove the electrodes using philips screw, note position and distance from nossle as they will need to go back the same way. get 2 small adjustable spanners hold the stem with one and screw out the nossle with the other. this part is very important, when the nossle is out wipe it off and take to your local heating merchant as there are loads of different types. if the nossle is partly blocked it will cause lock out. Let me know how it goes, good luck!