It is normal that the injector just sits inside the tube that runs from the side burner, with a “air space” acting as a connector rather than there being some kind of physical connection. The open space we are referring to allows just the right amount of oxygen to be mixed with the gas as it’s forced under pressure into the side burner tube, providing a good clean blue coloured flame. Too little oxygen will result in yellow tipping of the flame, and smaller flames, as the flame is starved of oxygen. Too much oxygen and the flame will not sit on the burner correctly and “jump off”.
Please see attached diagram and assembly instructions for further clarification