Same issue here. No problem with my 2010 Heritage but that was a different Headlight Assembly altogether. If I'd known in advance about the gap on my 2015 Ultra Limited, I'd not have bought the Trim Ring. The matching Trim Rings on the Driving Lights fir just fine. All this said . . . installing the Trim Ring around the Original Trim Ring as a way of attachment seems like a very poor design. I mean, why not have the New Trim Ring completely replace the Original Trim Ring?
-----UPDATE-----
OK . . . So . . . I actually read and then to a degree followed the Installation Instructions (see attached pdf file). You know what is absolutely amazing? . . . the new Trim Ring now fits without a gap. As if by magic . . .
Step One says:
1.) Loosen original equipment trim ring screw.
NOTE
If the original equipment trim ring screw is not loosened, the accessory trim ring will not fit properly.
The trick is "How Loose" to loosen the "Original Trim Ring Screw." Basically, you want to loosen it enough so that the lip of the New Trim Ring will fit snugly under the Original Trim Ring, but not so loose that both Trim Rings will be rattling around. So I measured the thickness of the New Trim Ring Shell with a Micrometer. Mine was 0.042" (forty-two thousandths of an inch). I then loosened the Screw that retains the Original Trim Ring and slid a 0.040" Feeler Gauge between the Original Trim Ring and the Headlight Housing. Then I tightened the Original Trim Ring Screw until there was a moderate drag on the Feeler Gauge (essentially a 0.040" gap) as I slide the Feeler Gauge in and out and back and forth. Now when I installed the New Trim Ring its retaining lip was able to slide under the Original Trim Ring (between the Original Trim Ring and the Headlight Housing) and I was able to tighten the New Trim Ring sufficiently so that there was no longer a Gap . . . . and both Trim Rings were tight and completely secure.
But . . . I still think it is a rather poor design. I would really prefer that the New Trim Ring completely replace the Original Trim Ring and not attach to it in this way.