the 2mm hex wrench screw will certainly keep the preload collar from moving. make sure you are using a sharp, high quality wrench. we've sold many hundreds of zipps with the current 88/188 hubs and we have never encountered a collar that migrated, or a preload collar screw that stripped or broke its head.
tighten the collar until it just slightly requires effort to turn. do this with the wheel on the bike. to test that it is not overtightened, i like to roll the wheel forward 90degrees and watch the valve's weight swing the wheel around, like a pendulum. if it does not swing back and forth, it's too tight.
once the collar is adjusted, and it is not in its "aero" position, just open the qr, move the whole axle around until it's pointed in the preferred direction, and close the qr. on the front, one collar is the bearing preload, the other is simply clamped on, so its position can be matched to wherever the preload collar needs to be.