If you mean the nut that holds the collet in the end of the router shaft to lock the bit in place, most routers today have collets with a groove around the outside that the collet nut is supposed to snap into and make an assembly. Then, when loosening the collet nut you need to loosen it about one turn further and this will pull the collet out of the router shaft, loosening the bit for easy removal and change. If you don't snap the collet into the nut before use, you cmay have considerable difficulty removing the bit after use, since the outside of the collet is tapered and will nest tightly into the tapered hole in the inside of the router shaft. Getting the router bit out after use is much easier with the collet and nut snapped together before use, so the nut will hold the collet and bit tightly in use, but also help to pull the collet out of the router shaft when removal / changing of the router bit is desired.
I have no experience with your model router, but most routers made since about 1960 work this way.
Central North Carolina