Have you tried using a longer screw?

 

Use blue Loctite, #242. Don't brush it on ALL the threads; try 1/2 to 1/3. It's meant to be removable.

If you still don't want to use it, try Teflon pipe sealant, otherwise known as plumber's dope. It's a white, Fluffernutter-like goo. Never hardens.

 

think I’ll try a little blue loctite. Not going into frame but into Di2 battery mount. Shouldn’t have to take that off till battery fails which hopefully is not for awhile. Amazing how much noise that cage makes rattling

 

If worried about Loctite try a dab of nail polish or paint, it holds but doesn't have the strength of Loctite.

 

Just a thought, but maybe you need a shorter bolt. Is it possible that the bolt is bottoming out and not actually keeping the cage tight?

 

Bolt length is okay. It goes right through the plastic Di2 battery mount into the down tube. I did notice that on another bike the bottle cage bolts have an o-ring on them. Going to see if this makes any difference before using loctite.