One possibility is notching of the hub splines by prior sprockets such that the new sprockets don't properly seat on the hub.
Pull all the cassette cogs off and examine the splines on the hub for notching, file off any protuberances
and try again. Also examine the lock ring threads in the hub to be sure no cross threading occurred- did this
once and it is hard to fix and not initially obvious when it occurs. Fortunately with most lock rings now plastic
this is less likely than with aluminum lock rings.
Plastic lock rings? Where on earth did you get this idea?