How tight should a saya grip the blade?

A loose one on your first attempt is completly normal, so don't beat yourself up. The snug one proves you can hit the fit, you just carved the second mortise a touch generous. That said, don't shim it. On a carved-out saya the walls are already about as thin as they can safely be, and gluing a sliver inside puts pressure right where the wood is weakest. Ebony moves and it's brittle, so a shim that's even slightly proud will stress the wall every time you seat the knife. Two better options: live with the loose fit and let the pin do retention duty, or treat the loose one as practice and carve another. Your second one will come out better anyway because you now know where you rushed the first.

Reading this because I had the same thing happen with a sheath I made for a fixed blade last month. Mine was snug when I first test fit it, then a week later it went loose. I think the wood dried out a bit more after I carved it, even just sitting on my workbench. Did you let the ebony sit a while before you did the final fit, or did you do the whole thing in one go? Also on the pin, mine does nothing for holding either, it's basically just there so I don't lose the knife if I turn the sheath upside down.

The pin is definitly more of a deterrent than the main retention mechanism, expecially if the fit is loose, so don't stress over it being functional right now. The sheath's geometry should be handling 90% of the job. For me, when I set up my retaining pins, I always keep the exit hole about 1/8 inch from the edge of the saya to prevent any stress fractures when the pin is driven home. I found if you drill too close to the edge, the whole piece can check up after a few weeks of handling. Are you planning on making these for field use or just kitchen knives? That changes how much retention you need.