It came with one that is waterproof, mud proof, and basically indestructible, but has no stretch or anything, so I know my dog can't get out of it...as long as I tighten it down.
Short answer? Yes. You should improve your dog's level of comfort, and safety, by changing the collar band to one that has elastic function. Some come with just a 'loop' of elastic installed, and some are actually made of elastic.
This stretchy-section serves three very important functions for your dog
1. To create enough pressure to ensure the collar box points are making good contact, without need to cinch the collar too tightly.
2. To enable dog to pull free of the collar, should it become entangled in brush, or
hung up on anything else in the environment.
3. Prevents Dog from becoming 'caught' on another Dog. If you've ever tried to
free a panicked animal, that has it's lower jaw caught in another dog's collar, while the dog they are caught on freaks out because they can't get away...
Your e-collar should Never have a leash clipped to it. Use a different collar or slip-leash for actually attaching a lead, or tying the dog to anything.
We are not going to get into too much detail here, as these collars are controversial enough. They can be an exceptional tool for some dogs, and their humans. But, as with any good tool, one must take some time to Learn How to Use it Properly, to prevent injury. Or desensitization.
Stop turning the collar up just because your dog has grown used to the "low level" stimulus. You are only teaching them to tolerate more and more discomfort, and they are learning to ignore you altogether. Most people "teach" with this tool in backwards fashion, and they don't even realize they are doing it until it is too late.
Start with Larry Krohn's book: "Everything you need to know: E-Collar Training"
Get yourself some knowledge and know-how, before you start using a vibrational, shock, spray, or any other electronic collar. Find out if this is really Your method, then check and see if your dog is Actually a good candidate for this kind of tool.
Some are not. Plain and simple.
If they are, let's at least make sure the collar band is comfy, and that they can get free in an emergency.