I am only daring to venture an answer, but you should still call Support to get a better answer:
MANY items like this(in many industries) will have a notched gear or motor or spindle that the item will go onto, in which it can only fit a certain way. The idea is a guide element to ensure proper alignment. I am assuming perhaps incorrectly that the gobo wheel can only be put on one way(or perhaps backwards, which would require a lot more work).
Some items will have a reflective or coded area coupled to an optical sensor for alignment, but I don't see ADJ doing a whole lot of that. Sometimes a hole is used instead but again, with some sort of optical sensor. Again, I also don't see ADJ doing that either, as it's kind of expensive.
A lot of these inexpensive fixtures(compared to the high end stuff) is often able to re-align itself after many repairs. Or being moved in transit or bulb changing.
Start by taking Jingle's suggestion, which is what I'd do first myself. Tighten things up and power it up and test real fast.
Really though, if that doesn't work, you're going to want to call Service. Have tools and other goodies nearby for testing. A flashlight is a must as well as a well lit area. A headset on your phone might be advised as well so you can keep your hands available while you work with Support.
Above all: Be patient. Don't rush through this!!! Take your time and check your work twice. If you have to take out screws, I like to tape them to a peice of paper and then mark near the screws where they came from so I can put them back later. I even go as far as to arrange them on the peice of paper sort of like how they came out. Sometimes I have multiple sheets of paper with screws and other parts secured down. In my case, with 2 nosy pug dogs and 3 kids and no secure place to work without being annoyed constantly, this organization has kept me running for quite some time now and I see no need to change it, even when the kids stop being so grabby.