Generally the tolerances on replacement windows only allow for caulking, and the windows are designed for water runoff toward the outside.

If the same thing is happening to all 4 shades it could be a batch defective cord locks. Return them and if the store has a sample on display, look at that one for how it closes at the top.

Just to be sure.. You are holding this string to the outside of the shade (or maybe inside) when letting go right? If you let go of a string while holding it straight down you will always get a little gap due to the the roller wheel in the locking mechanism needing to slide over before it locks. Helping this mechanism along by holding the string to the side it needs to roll to prevents the slack in the string from being let loose to move this rolling mechanism. I hope this is it, and if it is dont feel bad.. youre the millionth person to not be told by whoever sold it to you.