Mark, they should go right up to the face of the mandrel.
If they do not then re-clean the male and female threads and try again.
If you still have trouble then using a cotton wool bud apply a smear of blue on the male thread and plain part and see where it is catching.
I have noticed on my 3 jaw chuck some slight scrape marks inside the plain part of the chuck body as if someone has relieved the plain part!
I dont use any lubricant on my chuck threads at all. The only part I clean and lube is the scroll and jaw teeth. For this I use a stiff graphite grease.
Under no circumstance try and force the chuck onto the mandrel, it should go very easy if clean.
Clive