had the same problem on my 03 and 09.
there is a set srew. IIRC T-15 torx.
after having to tighten it every so often, i finally put a drop of super glue on the thread of the set screw.
has not come loose since.
Installed the Black/black knob. Didn't tighten it enough the first time. The mistake I made was tightening it with a ratchet that translates minimal effort into a bit more torque. Once the torx bit contacts the shaft, it won't budge anymore, so instead, the threaded collar shreds right through the plastic. I'll snap some pics tomorrow and post for reference...
What size is the set screw? I just bought a used Trailblazer and that screw is totally missing, so I can't just tighten it up. Is there anything special about it (eg, a nipple on the end)