Something would need to be cross-threaded, either the screw or the threads in the shaft. Don't force it - a local repair shop should be able to rethread the affected piece. I change shafts with fair regularity and having stripped threads in the past - nothing better than pulling an engine head to finish replacing the thermostat, I'm always careful starting the screw aligned.

I agree with Don. It sounds like you cross threaded the screw. The screws in the Sure Fit Hosels has a very fine thread, and it is very easy to cross thread them. That's why I never take the screw all the way out to adj. the hosel. When you take the screw all the way out, and then put it back in, be very careful and make sure that there isn't any binding or resistance when starting the screw in. If there is any at all, take the screw back out and start over. The screw should go in easy all the way, with no binding. If it's the screw that is stripped, you can probably replace it. Not sure about the hosel nut.