Hi W. It looks like there is a lot of peat in the potting mix which holds too much water for succulents. Try unpotting and mixing in some perlite or pumice. At least 50%.

Also, you didn’t ask about this but it looks like your E. setosa is etoliated and needs more light. The rosette should be tighter and the leaves should be a lot closer together. Looks like it was already etoliated when you got it though.

Examples pictured below.

Thank you Tyler! I will repot it asap. Also I’m wondering if the worm got anything to do with the falling leaves or is it doing harm to my succulent in general?

I see the caterpillar now on my iPad. Couldn't see it on my phone. I needed a bigger screen.

Some caterpillars turn into moths or butterflies while others turn into beetles. I don't know which are which or what kind that one is. I can't tell how big that caterpillar/worm is. It looks pretty big but I can't get a true perspective on the size. If is a super tiny one (but just enlarged in your image) I guess it could also be a larvae from one of those flying gnats. Have you seen any gnats flying around?

As far as I know they are all little eating machines munching on my plants.

When I see them I squish them, put them in the pot and they become plant food. Ashes to ashes, dust to dust.