I was just changing strings and this is the first occasion where the string block flew out when i was taking the string out on my floyd.

I noticed there's a hole, i assume that's where the locking bolt goes?
When I put it in, it seems deeper than the other string blocks. or is that how it's actually suppose to be?

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The flat side goes towards the front of the saddle (towards the neck), so it holds the string against the neck end of the saddle, and the hole goes towards the locking bolt.
Not sure what you mean about it being deeper though. You might have put it in upside down.
Sometimes they sink in, the high E in particular does so in all my FR guitars. I've found that it isn't a problem.
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