Those non-aero levers can be kind of a pain in that way. What I usually have to do is hold the lever in the closed position while I pull the cable tight enough to hold some tension on it, then pull it through the calipers and then get the cable as tight as I can. What's probably happening is that while you're routing the cable, you're not holding tension in the cable the whole time, and that allows the lever to sag a bit and the cable end to slip out of the hole.