My rear sight also moves, although it does not look like it is loose. I have a CZ Custom rear sight - not the true OEM sight, so it means that it is designed that way. I think that putting locktite on the set screw and, in addition to the left and right side of the sight itself will fix the problem. Once the set screw is set with the locktite, it should never come out by itself, and if it is tighten, there should be no movement of the sight at all.
I would do nothing else for now. Just enjoy the gun and remember always check the sights before any shooting - I do that with all firearms I have. It solves that very unpleasant feeling when you shoot and the target is completely blank.........