David,
The keyed sleeve should be a fairly tight press-fit.
… you should find instructions somewhere on-line, for stripping a Jacobs drill chuck.
You could Loctite the parts together; but I would send it back.
MichaelG.
.
Edit: Here is a previous thread on 'our' forum.
Edited By Michael Gilligan on 01/05/2016 20:19:56