[Thomas Owen]

First of all, what was the original problem that made you replace the slave?

Perhaps that true problem was the master?

Second, you don't want to press the pedal with the slave not in the socket or it may pump the slave piston right out of the body. Hopefully that did not happen during the first install. No, the shaft should not be loose...
Now, what I would do is remove the slave and inspect it for possible damage. Then reinstall it with the bleeder nut loose so that you do not have exert 'a lot' of pressure. Once the slave is back in then get a pressure bleeder and bleed the clutch system. There most likely is air in the system and until it is out the system will not work.
Good luck -