I have the exact same machine and the inner rubber wand is tightly attached. It doesn't come off even if I pull it firmly. If yours is falling off that easily it could be that either it is clogged (so the steam presser is shooting it off), or it is lose (which you should be able to push it back in place) or it is defective (or missing a part).

I have the exact same machine and the inner rubber wand is tightly attached. It doesn't come off even if I pull it firmly. If yours is falling off that easily it could be that either it is clogged (so the steam pressure is shooting it off), or it is lose (which you should be able to push it back in place) or it is defective (or missing a part).