I don't recall a click unless you have some kind of locking cable, but it should fit snug. It definitley shouldn't fall out on it's own or with little pressure. All the esata ports on my computers fit snug.
I do have a tivo unit though that has an improper esata port. It's not quite deep enough so any esata cable I try plugs in and works, but as you said, it will fall out if brushed up against. I have to be very careful when dusting around it.