Shoes are funny. As kids we take what we are given, and deal with it.
As we become older, and begin to make our own choices, [and spend our own money], we want more from our shoe.
A loose heel isn't the end of the world. As the sole loosens up, it would bend with the foot, and the heel would stay put.
The 9.5s might have been the right size.
I'd be most concerned if the shoe was pushing my toes to the point where one toe was crossing under another.