Is the lever supposed to actually lock it onto the valve?
Yes, you need to adjust the threaded ring to compress the rubber grommet such that it's bore slides easily onto the valve stem and then constricts when compressed by the lever/cam system to hold tightly to the valve.
Yes, you need to adjust the threaded ring to compress the rubber grommet such that it's bore slides easily onto the valve stem and then constricts when compressed by the lever/cam system to hold tightly to the valve.