This is due to poor antenna design. You are using the shield of the coax as part of the receiving antenna. Screwing the connector on shunts the signal being received on the shield to ground. This lessens the amount of signal available to your tuner and changes the directionality / capture angle of the antenna, therefore lessening the quality of the signal that you hear.
According to the testing that i've done, this specific antenna ( Metz, Magnum, Fanfare ) does NOT work very well inside of a building. Bare in mind that just because something works, doesn't mean that it works "good" or as good as other options. A standard wire dipole will typically mop it up in performance. The drawback to the wire dipole is that it is directional and you may have to re-orient it for best reception on specific stations. One could two wire dipoles in a "cross" fashion and produce a relatively omni pattern. While this would be dirt cheap to do, it would also be twice as ugly : )
If you want the Fanfare to work decently, you'll have to get it outside and out in the open. Sean