Did you make sure the lens shade is fully 'clicked' into place? The Minolta lens shade used on the Dimage 7xx/A1/A2 cameras is hard to lock into place the first time, and many people fail to turn it hard enough to lock (it feels like you have to turn it much too hard). There will be an audible click into position when you lock the shade correctly. If you didn't feel and hear the click, you almost certainly didn't lock it into place.
To tell if the lens is fully on, check the dot on the lens against the focal length line - if they are not obviously aligned, you haven't locked the shade on.
Another way to check is to try turning the shade in the removal direction - if it comes of fairly easily, you didn't lock the shade.
If the shade is not fully locked into place, you will get vignetting at wider focal lengths, and the shade can easily fall off.
