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Do the spade connections not feel that tight, or are you taking about the thermocouple in the block?
Can you upload a picture as the thermocouple needs tightening in with an adjustable spanner to ensure a good connection as it is only handling mV
millivolts - a very small electrical charge
But tight enough to pass the electrical charge.
You can try just harder than finger tight and see if it hold the pilot on, if not then slightly tighter.
No problem - come back if you get stuck