That seems very odd to me, it should have come sealed tightly. I'm surprised you can unscrew it by hand.
I looked up the regulator on their site, you need to use an allen key to tighten it but you will need to use a sealant tape or adhesive to make sure you don't get any leaks. Look up threads on this site for regulator builds.
Honestly, call the company and make sure this is normal and just make sure you use the proper type of sealant. Chemical reactions that occur under high pressure can cause explosions. Sorry not trying to fear monger lol but little on this website discusses the dangers of C02 tanks.