Hi, I too just received my Space Grey 6s+ and had the same issue. It just seemed too...loose. It did not take much effort to remove the headphones from the jack. I tried various headphones with the same result. I also took the same headphones to my previous iPhone 6 and a colleague's iPhone 6s (not plus) and they fit snug with the slight "snap-in" of the jack. You should be comfortable enough to let your phone dangle upside down and my 6s+ never felt "snug" enough for me to try it.
I took my 6s+ to the Genius Bar and the rep ended up bringing out a replacement and it felt slightly more snug but was still somewhat loose. Then the rep and I walked throughout the Apple store and tested numerous headphone jacks. To our surprise, the 6s models and iPods were nice and snug as expected. Just about all but one 6s+ were loose and the rep was baffled by this and commented that this may be due to some sort of defect... I ended up keeping the replacement for now since it was "more snug" than my original 6s+ but the rep will call me and let me know when the next shipment comes in so he can contact me and let me know when a 6s+ with a "more secure" headphone jack is available.
I've never had a headphone jack feel this loose before; as if it were held together by a weak magsafe plug.
I'll post any further developments in my quest for a more secure headphone jack (if I decide to pursue this).
Regards.