Yup. There's your problem. The factory rockers are GREAT pieces, but to use the good locking adjusters, two things need to be done. First, you need to run a tap through all of the threaded holes in the rockers. This removes any self locking qualities the rockers may have left. They usually do not have any left, but I always do it anyway.
Secondly, and this is where your problem is, you must, must, MUST spot face the top side of each rocker adjuster hole. This assures that the area around where the lock nut seats is good and flat. Since they do not come with lock nuts from the factory, this area is not critical. When you make the conversion to the good lock nut type adjusters, it becomes critical for that area to be flat in regards to the adjuster hole. This is why yours keep backing off. There's not enough contact surface between the rocker nut and rocker to keep them tight. It is a very simple procedure and not costly for a machine shop to do it. I recommend letting the shop do it, because they can get it 100% perpendicular to the center line of the adjuster holes.