That happened to me once. Even though the screw seemed tighten up it wasnt. It is possible that the wheel screw is not properly inserted in the threads giving you the feeling of being tightened.
I'm not saying it's be the case here but if the screw is tight but the knurled wheel is still loose then the screw is just not touching the shaft with enough pressure.
I can't imagine how the knurled wheel can slip on the gear shaft. The shaft has a flat part where the wheel screw should be tightened against. Did you replace both, the wheel screw and the knurled wheel?
You could also draw a mark on the knurled wheel and geared shaft to see if the knurled wheel really moves - like this:
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