If you ever need to replace your joint again (they last, but not forever usually), go with one that has a 3/4" Double-D fitment on the steering column side.
Do what the posted video shows to the shaft and you should never have one come loose again.
The fact that the box side has come loose though is bothersome. Make sure you don't let the loose joint bugger up the splines. Get some dimples drilled in there soon and add the new set-screw as mentioned.
When we build a shaft, it has the longer set-screws with the lock nuts and Locktite for good measure. If done right, they should stay tight for the duration.
Does your joint have 2 screws per end (90 degree opposing)? Or just one at each end?
Just curious. Most have 2 I'm thinking, but wanted to check.
Good luck. Loose steering shafts can be kind of "annoying" to say the least!
Paul