Many other radios with SMA and BNC connectors have blue thread lock on them. Odd that Uniden didn't use it on theirs. I have had to apply thread lock on all my Uniden scanners. Gets annoying having to re-tighten them. Just a dab will do. Remove the nut, place the smallest drop you can on the connector threads as close to where the nut would tighten up and put the retainer nut back on. Place a drop or two on the end of a jewelers screwdriver until you get a small amount applied which doesn't have to go all the way around. The nut will spread it.
Don't over tighten. You can also buy a spanner wrench for those, I have one, but the tip of a jewelers screwdriver with a blade the width of the slots on the nut works pretty good. You can angle the blade and gently push to tighten it. Maybe even tap it with a small object, but don't use much pressure or tap hard. It doesn't have to be overly tight. Just snugged down so the connector no longer moves about.