Presumably this occurs while the chuck is mounted to a vertical spindle? I can understand that and quite often it may take a few seconds – not minutes – to get it started.
Simple cure is to fit your cutter with the chuck off the machine. That is the way the real pro’s do it, for changing CNC cutters. That would be those with a tool setter to change cutters and reset the machine for operation. They do it off the machine to ensure correct tightening torque as well.
I can say that I have no problem screwing in the retaining nut while using the ER in the spindle, on the lathe. Can’t be so positive if it was in the tailstock, mind (so easy to eject it from there to change a cutter, if ever needed).
That means it is the operator, not the nut, that is the problem (unless both are nuts🙂🙂 ), I’m afraid. Confirmed, really, by you saying you can see nothing wrong with it.