Are they all coming loose or just one or two certain one? Not sure on why they'd be coming loose other then the lock nut not being tight enough. Or something is cracked and/or breaking, but I'd thing that would have been noticeable by now. If you don't have a stock cam in it then did they send you the valve adjustment specs? They're usually different then shock specs.
You definitely have to be careful who you buy engines from. Especially if it's from out of town, state, etc. I got one once (don't remember the company) and one of the rockerarms was barely on the valve spring. The rocker and the spacer were put on in the reverse order. A simple fix, and the engine did ran good, so no real complant. But if you think about it, if miss a small mistake like that then you never know what else they might have missed. I'm just glad I noticed it before installing the engine cuz I'm something would have broke. Although I did end up having to pull the head off after a few months cuz it was bad.