There is a bit of pressure created during extrusion. If there is any gap there, the filament will find a way out. When assembling, you screw the nozzle in and back it out a quarter turn. You then turn the heat break in tight to the nozzle. Next, install the thermistor and the heater and bring it up to temp. This is all done while it is hanging from the machine. Once it gets to temp hold the heat block with a wrench and using the nozzle wrench provided, tighten the nozzle up to the heat break. You can then spin on the heat sink (finned part) till it is hand tight and assemble the rest when it is cool to the touch.

The nozzle and the heatbreak must be installed tight to each other when hot. Some will install everything tight and mount them on their printers. Then, once everything is hot the tighten the nozzle by holding the heat block with a wrench. I don't have enough clearance to do it this way on my machine. When I do it, I just assemble it on my bench and use a torch to heat it up. I suspect that you are not tightening up the nozzle to the heatbreak where they come together in the heat block while at temperature.