I've heard that that's sort of common with Jess, don't know why.

It's because the head is slightly loose. It's not a big deal at all, the head won't come off anytime soon. My AGOT 17 (Sara) has the same issue, but she's ten years old and her head hasn't come off yet.

If you want to fix it, you can untie her neck strings and fiddle with her head until you like it, then tie the head back in place. Or, you can say she's cocking her head all the time and leave it at that.