You may want to return it to the place you got it, or you can do this but only as a extreme measure.
I have done this on equipment and it works but you must be sure you want to.
Take a center punch and on one of the threads set the punch in place and strike it,this will deform the thread,do it on the 3rd or 4th thread.(not the 1st or the 2nd) then put it back on and check it,if you still have the same error do it to one more thread on the other side.
This is like putting in a lock device (lock nut)(called staking the thread) don't do it to the main stem just the nut.
You can always replace the nut quick and easy.