It's where the arm attaches. The pedal is ok. I will try and find some locktite. I am in Taiwan and can't find things very well but I will see what I can do. I was more curious if I was missing something after the first time it fell off. As far as I can see, I have the arm, a nut to fasten it on and then a cover. Is there anything I'm missing?

I am very careful to go only the way that the threads allow me to go. Thanks for the replies everyone!!!!