Mine seemed a bit better yesterday when I opened it for the first time in weeks, but you could tell it was screwing out every time I turned the head. Maybe it's normal? I dunno...
Just felt I should at it was screwing out slightly, but it was happening.
Ah, well. I guess the general consensus here is that it should be staying put no matter what, so I'll continue waiting for the exchange. It really is a gorgeous figure; taking it out yesterday reminded me of how bummed I should be.