Hmmmm. I would say tighter than finger tight, but not rammed tight as tight can be by any stretch. Snug with an alan key pushing on the long end. this bolt compresses the headset so its all nice and snug. Next thing, in fact first thing, with the front brake on, if you push the bike forward is there knocking/slight movement in the headset? If so then its loose, or I would not rule out there being a foreign object in the headset somewhere, maybe in the bearings, stopping it from going snugly together, check this before forcing it down as you risk damage if this is the case. (i once got a bike back from bike shop with two old bearings in there, i didn't spot it soon enough and the headset was destroyed.) Usually if it looks like a headset isn't together properly, then it isn't.
My first step would be loosen stem bolts, loosen headset bolt, lift the stem and spacers and see if they will then slide back together properly, some cheaper headsets take a bit of cajolling into their proper positions and it may just be misaligned.