My thru axle has never come loose, just a super tight RD making it tough to get the rear wheel on/off.
If I were you, I would definitely invest in a decent torque wrench, and torque the rear axle each and every time you take it on or off. Personally, I bought a torque wrench and went through the whole bike and loosened and retorqued every bolt to spec. Just to give me that peace of mind.
If you still have any worries, I would definitely take it in to the shop you bought it at, and if they are a good shop, they will address your concerns or at least put you at ease that all is good.