Hi William,
Whilst I certainly don't disagree with Michael's views before I fettled it I'd ask for it to be replaced. If it doesn't screw on fully with or without collet in then you shouldn't need to have to make if fit.
I've had these type of collets for many years, the closing ring is hardened though that does not neccessarily mean yours may be. Once you touch it however it won't be replaceable except by purchasing another – worth waiting a few more days?
Only one drawback with using these collets and that is if working close to them the saddle overlaps the gap. That said they are a useful asset.
Regards – Ramon (Tug)