Leakage between the shower and the shower arm can occur if the washer is not seated properly. Remove the shower and check the washer inside the connection nut if it is STRAIGHT and FLAT. Gently use a screwdriver or pen to push the edges of the washer down. Re-attach the shower to the shower arm.
If the leak persists, use a screwdriver to remove the washer from the connection nut, flip it over, and set it back in. If the washer doesn’t stop the leak, use plumber’s tape on the shower arm.