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That connection is a tapered spline. You should tightened it ASAP. Drop it down and give it a visual inspection. Make sure you connect it in the same orientation, have the wheels straight ahead and the steering wheel centered. If it has had movement for a while I would guess both surfaces will have wear. Tighten it now and then try to tighten it again after some use. If there is no movement, it won't get any worse