The microdot connector basically screws into the cable under the strain relief. If you look at the connector end-on, you'll notice the metal piece surrounding the central pin is slotted. Like a slotted screw, that matches up with the tool used to install the connector on the cable. The knurled outer sleeve is captured on the connector by that piece and rotates freely to allow it to screw onto a female microdot connector on equipment or a barrel connector on an extension cable.
When disconnecting, be careful that you don't grab the strain-relief and put more torque on it than the knurled sleeve, which can cause the cable to unscrew from the connector instead of the connector unscrewing from the other piece of gear or barrel connector.
I've had this happen a couple times. Twice I've carefully screwed the connector back on the cable and used a bent pin or something to fit the slots and tighten it well without problems. Once the cable was pulled out violently and I could not get a sound re-connection and had to send it back to DPA in Denver to fix it. They cut off a few inches of cable and re-terminated which was not covered by warranty.
The easiest way to prevent unscrewing from the cable is to hold the knurled sleeve and strain-relief together so that they rotate along with the cable once the connection gets snug, and just turning the knurled sleeve part when disconnecting (harder to do with fat fingers). I'm now careful to tighten them snugly but not overtight, and gaff tape the cable/barrel/extension connections so I'm not relying on a tight screw connection alone to prevent them from coming undone.
Haven't had any problems since taking those precautions.