I wonder if I didn't properly secure the cable. This is what the hole look like. There's no tiny screw that squeeze the cable. I thought screwing the one big screw at the corner is enough?
These are spring terminals. The wire is squeezed tight in place by the force of a spring. They're very reliable if used properly... there is no screw to get loose.
First, prepare your wire, check the manual for how much to strip, and if it is flexible wire, make sure to turn the strands between your fingers to make it nice and tight, like this random pic from the net. There should be no loose strands...
Use a small screwdriver blade to gently push down the tiny pushbutton on the terminals:
Don't push it sideways or it might break! Pushing it down releases the spring, and you can stick the wire into the hole, then release the pushbutton. Pull on the wire, it should not come out.
If you want to take the wire out, push the button and pull the wire.
If you use solid core wire then you don't need to push the button to stick the wire in. Solid core will find its way in.