Thru-axle assemblies are rather stupidly designed, since there is nothing providing an actual definite position of the parts. The axle has to be a loose fit in the hub to allow easy, hands-only installation. So the rider end up having to rely on the end caps of the hub being pinched between two parallel surfaces as the sole mechanism keeping the wheel positioned.
What happens is that applying the brake causes a downward force on the axle, and riding causes an upward force on the axle. In the absence of a definite centering feature, a TA that hasn’t been closed with sufficient force will allow the wheel to move (ever so little) up & down, as dictated by how loosely the axle fits in the hub.
One trick that might help is to tighten the TA with the wheel off the ground. That way, the slack is taken out and the wheel is already resting against a definite reference.
Brake forces can’t move it any further, and w/o jostling, there’s far less going on that can cause the axle to unscrew.