Is the threads on bolt holding retaining nut loose/stripped? That is the only way the thing could come loose.
OP - are you saying that entire locking nut unwinds itself? if so the clamp is bad.
if something other than please clarify.
alt theory is the bearings are incorrect.
OP are you adjusting bearing with a dial indicator or just guessing? .01mm end play is very small....
The bolt holding retaining nut was not loose.
I think the whole locking nut comes loose, but not much, but enough to make noticeable play.
And I don't have a special tool to measure the play, so yeah, I`m just tightening on feeling...
Probably will go to some service, so they can check it more detailed.