Hi Tigang,
congrats on owning your first petromax. With time you will love this lantern,but you have to" tune "it to your liking.
Bjorn's theory about expansion is right on,it seems that the steel streches open the brass. I had nozzles just fall out while the lamp was running. I solved this problem by drilling the mixing chamber at 3 symetrical points ,just untill the bit makes a (counter sink)in the nozzle. Then thread the holes in the mixing chamber(8/32)and put 3 set screws in to lock it in place.
I used stainless screws because it seems to fuse to the nozzle when it gets red.
It hasn't moved 1nano metre since.
About your flame -up ,check that your injector is sealing properly when tight,and try turning the hand wheel quicker.Also maximum air preassure ,see what happens.
Hope this helps, M030