Is the controller supposed to make a clicking sound to assure that it's fastened properly? I connected it as best as I could but there is still a bit of a gap.

There is no clicking sound when you connect the controller plug to the mat receptacle. 

Of course, it is essential to connect the controller plug to the mat to go almost entirely into the receptacle with an as little gap as possible. 

However, we noticed that the L-40VA and L-40PVA (three frequencies controllers) plugs are tighter and need more effort to plug into the mat's receptacle than the L-40V and L-40PV (three timer settings controller). It refers to some Purple MediCrystal PEMF Photon Amethyst Agate mats and 4-Stone Disks Bio-Magnetic mats.