The battery slides into the box and the contact points are somewhat springy. It is possible that one or both contacts have been bent enough that they allow the battery to slide and momentarily lose contact, or that one of the wires has begun to fray at the solder point and temporarily breaks the connection.
If it is new then take it back to the store you bought it from, or you can call MusicMan Customer Service toll free at 866-823-2255
Any decent shop should be able to check it for you.
PS Duracell 9V batteries with square female poles fit the battery box more consistently than any other brand.