It may appear loose but if it's flush with the rim then it's on correctly. The little hole is for the small ring shaped instrument which comes with the spare tyre kit that is used to pull the hub cap off. If you feel it's not on correctly then remove it and try reseating it on the wheel. Do not push the hub cap on, I found if you just turn the hub cap ever so slightly while pushing it on it will literally pop onto the rim on its own.
Edited by: Collas