Just joined this forum to read about firmware and came across this - again I know it's old but it may help someone.
I have the same fittings and the adaptor supplied by shelly is of poor quality, and the TRV will pop off the thread when it depresses the valve.
I found that if I wrapped the copper lip on the valve with some electrical tape (to make it bigger) then used the supplied adaptor so that it went onto the now thicker valve I could get the TRV to not come off - providing the threaded bolt was not tightened so that the two parts of the adaptor were pulled together by the threaded bolt. To prevent this happening I inserted a piece of wooden cocktail stick that physically prevented the two halves coming together.
The fundamental issue with the supplied adaptors, is that if they are fully tightened onto the valve, then the tread diameter that the TRV screws onto is reduced so much, that when force is applied to the valve, the TRV collar threads jump the adaptor threads. By making the adaptor threads that bit larger by combining the tape and the cocktail stick I have got mine to where they seem to be able to withstand the force applied to the valve and don't jump off.
I think these adaptors are very poor, especially considering the TRV are at the higher end of the market in terms of pricing. So if you have this issue, you could try the above before forking out for the metal adaptors (which look good), or sending them back to your supplier.
Anyway HTH