This is going to happen, no matter what knot you use. While I'm not a fan of the Davy (I use the Uni knot), I've had this happen with every knot I've tied. If it really bothers you, change up your rig and consider tying your dropper in a different manner, e.g. use tippet rings, tie off tag, triple uni knot dropper rig, tie off at eye, etc.