Usually these connectors are made out of a cylinder of sheet metal with
a lengthwise slit.  If the connector is loose and thus not making
contact with the distributor cap, you can use a screwdriver to enlarge
the cylinder a bit.  Just a little will do.

If the spark-plug end is loose, you can perform the opposite maneuver,
gently,  with pliers or even by pinching with your fingers.

As others have noted, the boot slides over the wire and the contact
area, so it is okay to carefully move it with respect to the wire so
that everything hooks up solidly.  As you noted, the thing is supposed
to click-in, not just sit there.

Be gentle as you do this, because two other things are possible --
yanking the actual conductor part of the wire off the contact (easily
observed by looking into the boot) and breaking the conductor
internally (not visually obvious and sometimes the cause of a
devilishly hard to diagnose misfire).

Speaking of diagnosing misfires, one useful trick is to see if you get
similar symptoms when the electricity is entirely removed from the
offending cylinder by disconnecting the plug wire at the distributor
cap.  (Do not remove or replace it with the engine running or you will
get a rude electrical shock! )  

Cheers,
--Joe

I believe that the spark plug wire is an integral part of the distributor
cap and is not designed to be removed from the cap, only from the spark
plug.  If that is the case, you need a new cap and wire set.  You can
confirm this if you take a look at a replacement set.

It is the other way around.  The symptoms are the result of the disconnected
lead, which is causing a misfire.  The rough idle and inconsistent exhaust
sounds are because power is not being developed from the cylinder that is
not firing and the petrol odor is because it is not being burned in the
engine and just being sent out the exhaust unburned.