The a/c's lift changes when you move the collective. It's normal to add power to maintain altitude when you tilt the rotor more than a smidge.

[Edit] Also, note that it is normal as well for the rotor to be able to tilt a bit in the head-- it's called flapping, and it's there to compensate for differential lift in forward flight. Whether yours is normal or not is something you should research (see other comments here), or take it to your local hobby shop or rc club and see if you can get someone to look at it for you.