It looks like the keyed washer between the locknut and cone was turned when it was tightened. I would take a needle file and dress the threads in that area a little so the cone and the nut spin on easily. Then, when re-tightening the headset, I would use *two* wrenches and not rely on the keyed washer to keep the cone from turning.
Edit- actually it looks like it was done while loosening. Which is a better situation. Still use two wrenches when tightening, should use two when taking it apart, too.