I have the exact same as you, it's fine, just make sure you tighten the grub screw.
Is there supposed to be something between the metal stick thing underneath and the screws? Even having been so tight it's dented the metal, it's still pretty loose for my driving...
Have you tried taking it all apart and starting over? I'm pretty sure mine just sat on and then screwed in the grub. Did it come with the car or did you buy it? It's possible it's the wrong type, pull up reverse type rather than push down.
Yeahhh I've tried that... It came with the car, but can't get it to stay on :-/