I've attached any number of inline sockets and plugs in my life, and never had the trouble I'm having with this. It seems impossible to fit.
The instructions talk about the "Easy wiring clamp terminals," but if you try to do it the way they show, you get this result
and the wire pulls out easily even when the screw is done up as tight as I can make it.
Inserting the wire from the other side (which is not how HPM indicate it) doesn't do any better, and nor does attempting to wrap the wire around the screw.
It probably doesn't help that part of the clamp is made from a springy metal, so as to be able to grip the pin from a plug that's inserted.