So I took out the pin from the wheel spindle, and noticed that the grooves on the wheel nut that the pin is supposed to hit were deeper on the spindle than the pin holes, so the wheel nut is free to loosen a couple of turns before it engages the pin. I assume this is what happened; the nut loosened enough from vibrations and whatnot to allow the wheel to move enough to loosen the chain.
Now I've tightened it (after tightening the adjusting bolts about two turns each), but I worry that it will come loose again. (Handling is better, but not super tight yet)
What do you think? Do I just get some washers to build under the wheel nut so the pin can do its job?
Also, shouldn't there be a marker somewhere to align with the alignment scale? I couldn't see one.

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