To OP, yes I have had this issue with those cheaper wrenches you find in tool kits. You can lightly grind some of the side of the cone down, if you don't mind the cosmetics.
Originally Posted by
SquidPuppet
Since the locknut is outboard, ANY thickness wrench will fit. Remove wheel from bike.
No. On new and higher end Shimano hubs, particularly this Ultegra hub, the outer locknut has an outside flange. The cone wrench has to fit between the flange and the spacer.