This is how you should wear the brace when you first start. When your body gets tired of holding that posture the brace will feel tighter which is a reminder that you need to straighten up and maintain your posture. The brace should not be so tight that it is uncomfortable to wear. Sizing could be an issue if it is too tight from day one. Over time you can tighten the brace to further achieve better posture.
The purpose of the brace is to train your muscles so that they stay in the proper posture. The more you use it the better your posture will be. It took many years to develop your posture, don't expect results overnight. Consistency is key to improving your posture.