No mine was working fine too. I didn't realise that anything was wrong until one side of the pin fell out. I think BSA made the centre hole larger than it needs to be - a depression would have been enough for the grub screw to hold it in place.
I bought a second hand 'Axminster' branded Chinese lathe about a year or so ago and I've been using it to make and repair all sorts of things since.
Steve.