|Which heatsink is loose?|
I assume it comes without a cpu heatsink as per the pic, below:
Hard to tell, but the chipset sink may only be held by clips and spring pressure, the others (if that's what they are) around the edge of the boards ; difficult to see from the pic how they're fixed.
Nothing to rattle around on there that I can see, unless they included and loosely attached a cpu sink.
Probably no need for the extra support you suggest, assuming it came in the original MSI packaging.
If you are unduly concerned and suspect damage, send it back. Otherwise no harm in giving a heatsink screw a tweak if that's what's needed and your observation is correct..
Such an operation wouldn't normally warrant a surgical approach. Just take the usual care, as you would in handling any mobo, graphics card or RAM.