My ball is also welded on so there is no movement. It sounds like yours has a
Convert-a-ball system on it. Didn't know Hensleys came with that.
I used to have one of those and it worked fine. The pin had O rings on it which kept it in the hole in the ball. I also don't remember the ball being loose at any time. It was a neat system that allowed you to change balls easily when towing different trailers with different sized couplers. Perhaps yours has the pin or the hole where the pin fits worn excessively. It is also possible that the part the ball fits onto (cone part) is not tightened completely on the mount of the hitch head. I would definitely ask Hensley about this.
Barney