Leakage between the shower and shower arm can be due to the washer not seated properly. Remove the shower and check the washer inside the connection nut 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.