Sometimes I leave mine, sometimes I remove it, it just depends on my mood and if I remember to put it on. That being said, I've never had a problem when I left it on. As to why the nut slid up the valve a bit...is there any chance you put more air in after you screwed in down? As you put more air in, the valve will protrude more so you have to be sure to screw it down when you're done. If that isn't the case, I have no clue why it would move.