Well if you'll notice, there's a little ring of rubberized material that sits at the top of that metal sheath, The thing the screw screws into. Mine is in perfect condition on my left monitor but seems to be worn on the right monitor. It's black. You'll be able to see it. So my right monitor looks almost as if that rubberized material was never applied quite right.
I don't know if that's the answer but something sure isn't right. It shouldn't be creaking the way it is. I'll try a different filter and see if that makes any difference. I haven't done that yet. But still, it really does seem as if the metal tube that sits within the monitor is loose.
Yes, you're right. The gasket, it should keep it from moving and keep a seal(which I think the purpose of it is). If the gasket is not on right or the fit is not quite like the other, I would contact Shure and get a replacement if you can't fit it correctly. It's probably one of those things that slipped through QC cracks for this $1k iems.