The muffler has a bigger ID than the header's OD. That's not unusual for aftermarket "universal" mufflers, and they come with the reducing sleeve visible between the muffler and header.
You should put a pinch bolt in the muffler and clamp it down on the sleeve/header.
But: it will not seal perfectly, the sleeve is slit so it can tighten down on the header when the muffler clamp is tightened. Exhaust will poot out through the sleeve's gap.
Maybe not a big problem? If it bothers you, you can get "muffler cement" at auto shops and goop up the sleeve before assembly and that seals pretty well for a while.