Yep. Known problem. And it also just happened to be my *denim* (I have a few different colors) feather that was loose when I first got it. I wonder if the denims, for some reason, started out loose? Since I've tightened the screw, though, it has remained tight. Nonetheless, that is why I always do exactly what you did ... clip the large, split-ring keyring *into* the clip when using the clip to hang it. (But I'm also a little paranoid, and I also have homemade, small safety chains that I use to further secure such charms to my bags.)
And the fun part (read that as sarcasm) is that many of the recent straps use that same kind of clip at the ends. This is true on both boutique bags (eg. at least some Swaggers), and MFF bags (eg. Coras). So if the screw comes out on one of those, and if the screw is lost ... well, unless you do the math to jury-rig something, then your strap won't work anymore either. What a fun surprise! (yes, more sarcasm).