The extendable jacket is removable, but apparently M+ is a little loose without it. It's supposed to be like that because Nintendo wants people to use the jackets.
Read it here!
The Wii MotionPlus connector feels loose ("wobbly")
When touching the connector on the Wii MotionPlus, you may notice it feels a bit loose. This is the way it was designed and there is no need for repair.