The shower set uses washers in each connection to help prevent leaks. If the washers are missing, damaged or unseated, they can let water leak from the connection.
To check the washers, unscrew the connection and check that the washer is STRAIGHT and FLAT inside. Use your fingers or gently use a screwdriver to push the edges of the washer down. Re-attach the connection and turn on the water to test for any leaks.
If the leakage persists, remove the washer from inside the connection nut using a screwdriver, flip it over and set it back in.
If a small leak persists, use plumber’s tape on the treads.