the click is jut to let you know it is closed properly. when gas cap not closed tight it will cause a check engine light. I think the click is just stupid proof. As long as the threads aren't crossed and the cap is tight it should be fine.
Well you got my gears turning with the gas cap so I contacted the dealership where I purchased it and they will replace it, no problem, under warranty they said. Should take less than 30 min.