The docking connector is supposed to wobble slightly, but the screws should be tight. The screws are special, in that they don't have a thread where they pass through the docking connector - they are smooth. They're only threaded where they screw into the empeg body.
Presumably there's some kind of end stop in the empeg that means you can screw them all the way in without causing the docking connector to stop moving - mine are solidly in - couldn't budge them tighter at all - while the docking connector still has a reasonable amount of play in it.
I did a pretty little picture to try and help demonstrate - don't know how it'll come out... (see below)
As you can see, the screw is all the way into the empeg body, but the connector still has leeway to move back/forward/up/down. Note that this diagram isn't really any particular view or orientation of the empeg - it's just to show the principle.
...--------
| |--|
EMPEG | | | < DOCKING CONNECTOR
| | |
|----- | | ##
|/////######## < SCREW
|/////######## < # = SMOOTH
|----- | | ## < / = THREADED
| | |
. . .
. . .
. . .
(Edited to make ascii better)
Cheers,
A.