Problems with WGR800 replacement wind sensor for WMR100N

I purchased a WGR800 wind sensor to replace an old worn out sensor for my WMR100N. The wind speed works fine, but the wind direction reads N no matter what I do. I noticed that the wind vane does not fit snugly down on the plastic rod, even after adjusting the little screw. Has anyone else had this problem, or any ideas?? Thanks.