A couple of thoughts
Make sure you have the the refill spring on correctly usually the larger diameter end of the spring should point toward the tip of the pen.
Make sure the tip end of the refill will easily slide through the hole in the tip, if it does not you can enlarge the hole slightly by finding a small drill bit the proper size and inserting it in the tip, then turn it by hand and try the refill again. That can also remove and burrs that might be there.
Make sure the refill is the correct length and is seating properly in the pen. I do not think all parker style refills will work in this pen, I have had problems with some.
If the refill moves out when the plunger is depressed but does not lock,the plastic sleeve of the clicker mechanism is probably slipping. I'm not quite sure on how to fix that on a slim line pro.