If the zinc is still in good shape, and it isn't affecting your steering, I wouldn't worry about it. It may be the zinc is deteriorating, and no longer thick enough for the bolt to hold it securely.
...or the allen capscrew holding the zinc is either bottoming out in the threaded hole prior to clamping or the wrong fastener has been substituted.
Remove the zinc and chase the threads in it: see if you can't tap the hole a bit deeper. (This wouldn't be a Worst Marine tab, would it?)
The anode is new and plenty of material to grab. It is not bottoming out either. It is snug and as tight as I can get it. It doesn't move at all. But when I pull the boat out of the water, the fin has moved a little bit counter clockwise.
