I would say its not on there correctly or something is wrong with it. They usually fit really tight. That being said, i think there is a screw that tightens it up. But if its not in the correct groove, it won't tighten up all the way.
With the original trim ring you need to make sure the spring clips are all in place. If I remember right there are 2 or 3 clips. Also the screw at the bottom can be difficult to get installed at times. JR
I've had mine off a bunch of times to mess with headlight adjustment and no troubles. Once you remove the screw you have to turn the ring counter-clockwise (not much, about 11:00 position) and it comes right off. To put it back on, same thing ... make sure it's about 11:00 position, push it on tight and turn clockwise to line-up the screw hole and you're nice and tight after getting the screw snugged down.