Originally Posted by FBinNY

I suspect that you're seeing the effects of an unfortunate combination of parts with inadequate tolerance. The stem has a close running fit with the fork, and likewise with the headset lock but.

Now, consider that there's a tiny bit or error relating to the concentricity of either the fork or nut. The nut screws on but it's opening isn't aligned with the forks, so the stem fits either, but not both when the locknut is tight. This isn't exceptionally rare, and the fix is to carefully enlarge the locknut's opening a bit. Sandpaper on a dowel works best for the job.