Yes.
If all of your of your equipment is in good working order, this cannot happen.
Here is what you need to look for:
1. After installing your shell holder, raise the ram all the way up, measure the distance from the top of the shell holder to the top of your bench. Record your measurement on a piece of paper. Raise and lower your ram 20 times different times. Record the measurement each time. This measurement should be exactly the same each time.
2. With the shell holder still installed, raise the ram up to the full height, measure it to make sure it is at the correct height as you previously recorded, loosen the lock nut on your die and screw it all the way down until it hits your shell holder, do not move the die further, lower your ram and measure from your bench to the bottom of the die. This should be exactly the same measurement as the measurement from your bench to the top of your shell holder.
3. If the measurement to the top of your shell holder is not consistent each stroke then your press has a problem.
4. If the measurement from the bottom of the die to your bench is not exactly the same as the measurement from the top of your shell holder to the bench, then you are not adjusting your die correctly.
5. If the measurements are both the same as they should be, then stroke your press a few times until you see the gap appear. If the gap no longer appears then you have correctly set the die. Keep the die from turning and just turn the locking nut clockwise to tighten the die in place and keep it from moving.
6. If the gap appears then follow steps 1 and 2 to figure out which part is not staying in place by comparing the measurements you took previously with the measurements you get now. Which ever measurement is different from your original measurement will tell you which part is failing.
7. Let us know what your results are.