This is my first Strat, and as I was changing the strings I noticed that a string retainer was loose...are they supposed to be this way and will it hurt if I tighten it?

They are meant to be loose. Infact they don't need to be all the way down to the headstock face at all.

That string tree is providing down pressure from the nut to the tuners, making sure the open B an E strings ring properly.
The other thing it does is to hinder tuning stability by creating friction point. So having it raised up a little is good for the guitar's general well being.
How much should it be raised? Well every guitar is a little different. Most people will cut the ball ends off a couple of old strings and thread the screw attaching the butterfly through the centerhole of those two ball ends. So they are acting a as a spacer for the stringtree assembly.
You need to be careful of how your open E&B strings sound though. If they sound fuzzy or sitar'y when played open, the stringtree isn't pulling them down enough.

Okay thank you very much!