I think it's actually designed-in that the loose cup does not thread all of the way in. Otherwise, the bottom bracket bearing shell might not be properly supported inside of the frame. Ideally, the loose cup not only supports the outer diameter of the bearing shell, but also clamps tight against the end of the bearing shell. If the loose cup clamped tight against the frame, it would take very tight tolerances to insure that it was also clamped tight against the bottom bracket. All of the bikes I own have exposed threads on the loose cup side (drive side tightened up against frame).

One tip for installing the plastic cup: I would not attempt to torque that cup to the spec that Shimano gives. I don't even use a torque wrench on the plastic side. What I've done is to torque the fixed side to spec then unscrew it about half a turn. I then install the plastic side and tighten it until snug then retorque the fixed side. This clamps the bottom bracket tight against the plastic cup but without having to stress the plastic side very much. Seems to work for me.