Usually these connectors are made out of a cylinder of sheet metal with a lengthwise slit. If the connector is loose and thus not making contact with the distributor cap, you can use a screwdriver to enlarge the cylinder a bit. Just a little will do.
If the spark-plug end is loose, you can perform the opposite maneuver, gently, with pliers or even by pinching with your fingers.
As others have noted, the boot slides over the wire and the contact area, so it is okay to carefully move it with respect to the wire so that everything hooks up solidly. As you noted, the thing is supposed to click-in, not just sit there.
Be gentle as you do this, because two other things are possible -- yanking the actual conductor part of the wire off the contact (easily observed by looking into the boot) and breaking the conductor internally (not visually obvious and sometimes the cause of a devilishly hard to diagnose misfire).
Speaking of diagnosing misfires, one useful trick is to see if you get similar symptoms when the electricity is entirely removed from the offending cylinder by disconnecting the plug wire at the distributor cap. (Do not remove or replace it with the engine running or you will get a rude electrical shock! )
Cheers,
--Joe