Quoted:
No.  Mine holds zero just fine.  Try removing and replacing it, maybe even a different slot.  Make sure it is not binding before tightening down the mounting screw.  Move it to the middle of the slot, rather than pushing it forward or back before locking it down.  I seem to recall that I needed to lift up the aperture arm, deploy it, in order to lock the base without a bind.

EDIT:  I just looked at mine.  There is a threaded cap on the left side of the windage screw.  That adjusts the tension on the screw.  You change windage by turning the knob on the opposite - right side.   When you turn the windage knob, does that threaded cap remain stationary or does it move with the screw?   My guess is that you may need to tighten that cap.  It has two recessed indentions for a special wrench to adjust tension.  I'm not sure what kind of tool might be best for gripping it, but you might try adjusting the tension to see if the windage screw stays in place when you lift and lower the aperture arm.