This happens very often, and not just on the 9.9, but all motors that use that connector. When installing that bolt, you must take a flashlight and peer in there to make sure the notch in the shift rod is perfectly aligned with the bolt hole. If it is not aligned, the bolt threads will drag on the edge of the notch, which will wipe the threads off the bolt and strip the threads out of the connector when you tighten the damaged bolt. Then the bolt will fall out. I like to say it never falls out at dockside, but always five miles offshore.
In all probability, you will need to replace the bolt and the connector.