There is a small amount of play in the threads themselves between the male and female parts, so that the locknut would indeed push the cone down slightly when tightened. This is different than axle compression and is perfectly normal. The usual procedure for adjusting a solid axle bearing is to move the cone down till no play, back off slightly and then tighten the locknut. The difference is that once you have adjusted a solid axle bearing the adjustment does not change when you mount the wheel. For a trained, experienced mechanic it's still trial and error, just less of it.