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Do you have any photos of the connector? I'm assuming it's not a standard M16 type?
You might find some luck dampening the noise with a rubber washer perhaps?
@kaede_waifu Here is the view of the connector on its side. As you can see, there is an Alan socket on one side (facing up) and a spring-loaded ball-bearing on another side (facing down) the back and left also have these. I predict it is this part of the connector that is rattling in the threads of the doll body or head. The threaded portion of the connector fits very snuggly.
@kaede_waifu I talked to one of the reps at TheDollHouse, and he suggested plumber's tape.
It's half a bolt and half what appears to be a cylinder with spring-loaded ball-bearings. I'll attach images.