The GRX spindle is AIUI aimed at a 73mm BB so if you have a 68mm BB then as @fossyant says you need spacers to fit correctly. This will be either a 2.5mm spacer on each side or a 5mm spacer on the drive side. This will impact the chainline so you'll also need to adjust the front derailleur to compensate.
There are, as noted above, two separate means by which the arm is retained on the spindle, the pinch bolts and the safety tab. In addition you can leave the preload cap in place which should also prevent the arm falling off. For all three to fail indicates a serious quality control issue by the manufacturer.
Can you measure the outside-outside width of the BB cups to check what width it actually is?
There are, as noted above, two separate means by which the arm is retained on the spindle, the pinch bolts and the safety tab. In addition you can leave the preload cap in place which should also prevent the arm falling off. For all three to fail indicates a serious quality control issue by the manufacturer.
Can you measure the outside-outside width of the BB cups to check what width it actually is?