The K&N filters come with a rubber gasket that is supposed to be applied to the outer end of the filter (self adhesive). Perhaps yours didn't get installed.
The '06 and later CVO air cleaner covers on the Touring bikes don't have a round center section like the stock covers or the '05 and earlier CVO covers. Therein lies the real problem, and that's why the catalogs tell you the SE air cleaner kit requires the use of the old style cover on the Touring CVO's. The old style covers contact the full circumference of the outer end of the round filters, providing maximum support to the cover. Without that support, the cover can wobble and move until the filter center section becomes fatigued and fails at the nut.
It is very possible to make the new style CVO covers work, as long as you provide the same support. Take the new filter (contact K&N, you may find they will replace your old filter free of charge as there have been other instances of the center nut breaking out) and mount it with the center bolt into the air cleaner cover while off the bike. Look inside and note where the filter element doesn't contact the cover. Those areas need to be filled with something to provide the solid 360° support of the older style covers. And if there is a significant gap between the center nut of the filter and the cover, adding a washer to remove most of that gap is a good idea also. You want to wind up with equal tension at the center and around the edge of the filter when it's all bolted together.
Of course, if you don't really have to have the official CVO cover, the best bet would be one of the many round covers on the market. Probably a lot less expensive than the CVO cover, and they look better IMHO.
Jerry