Yeah, that's not right. Can you push it back down into the neck? You may have to turn it a little counterclockwise (looking down the neck toward the body) to there is no bow in the rod to let it slide in a bit further.

Alternately, it might be that the nut has just wound itself off during transport (it depends on the style of rod and I'm not 100% sure which is used in these necks) so it might just need to be turned a bit clock wise and till it winds back down.

I would try just pushing it in first. It's probably just slack in the channel and slid out a bit, once you push it in and have tension on the rod and neck with strings it will hold in place fine.