Adjust the collet die so when the press comes up the shell holder presses on the part of the die that extends out the bottom. The amount of pressure applied there determines how tight the neck will be.
For some reason, when I seated Barns Triple Shock bullets (but not bullets without the multiple grooves), they tended to be loose in my .375 H&H Mag. cases (but not in some other cases I load). I solved that problem with a Lee Factory Crimp die.
If increasing the press ram pressure doesn't solve your problem, your die may be broken. I really like the no lube capability of Lee Collet dies so using them is worth it to me. I've been reloading for 40 years and own a bunch of them.