It's kind of hard to tell from the picture, but at the front edge of the molding it's recessed down a bit and behind that it is a raised up channel. It looks like the round chrome bead part of the window felt should sit on top of the recessed part and slide into the channel, but the diameter of the bead is larger than the opening on the channel.

Does it look like the bead on your felt goes inside the raised part on your molding?

I'm thinking I may have to spread the channel open a little or may try to flatten the bead on the part that engages with the channel. I don't really like either option, but if that's how it goes together, I don't see another option.