Do you have a double bolt on the other side of the steering wheel? ie the one you can't see in your photo? I thought that the cars are delivered with the release disabled now (can't confirm that myself). So it may be that it was simply not fitted correctly. If you have a double both, this is your issue...
In theory, once the wheel is in the correct position, you push it in to where you are in your second photo. On your first photo, you can see the 'flat' section. Make sure that this is lined up with the 'flat' section inside the wheel.
Then pull back again, and push, this releases the outer collar to lock. But it looks like you can't pull it back anymore...
I am really hoping that its just getting it lined up correctly! Good luck!