This same collet design is used on older Bosch models. You need to tilt the collet slightly while inserting it into the nut. Other than that perhaps your nut has damaged threads? I would try taking the collet and nut to your retailer and compare it to the fit of a display model. If it fits different replace it, much cheaper than having to replace a shaft whose threads have been damaged. This should be a warranty item for you.
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