When you say you've got 17 orders that suggests that in fact this isn't your first dance. You've obviously installed and removed bits in the past, which sort of eliminates the most obvious reasons(?).
Could the nut have a damaged thread, or the arbor? Crossthreaded? It wouldn't take much to stop the nut from tightening properly. Have you tried different bits? Checked their shank size with a caliper?
Could the nut have a damaged thread, or the arbor? Crossthreaded? It wouldn't take much to stop the nut from tightening properly. Have you tried different bits? Checked their shank size with a caliper?