So, I have a friend...named uh...Gebensch...yeah, Gebensch. He's playing with a threadless headset for the first time, and when he adjusts it so that there's no play in the bearings, nor any indexing, the fork doesn't spin or turn as easily as with the ol' thready types. It turns smoothly mind you, just with more resistance than I'm - er - HE'S used to. Is this how threadless works or did I muck it up somewheres in there.

(he...muck it up. My friend. Not me)

Could be any number of things but it should spin smooth.

You don't need to have the compression cap super tight, just tight enough that everything's secure.
I usually sit the bike on the floor, tighten the stem where it's gonna be, tighten the cap down till it meets the stem/spacer (whichever is on top), then loosen the stem so that it'll move, but not flop, I then finish tightening the cap and finally tighten the stem.
If that doesn't work, then maybe your, er... his, headset is f'd up somewhere.
-Gene-

If you still can't seem to adjust it right after a small loosening of the cap, then:
1. the bearing surfaces may not be parallel (cups crooked in the headtube), or
2. you may have left out the compression ring (I think that's what it's called), or
3. your crown race might be crooked, or
4. maybe you installed the bearings (if cartridge) upside down

Or maybe you just need to stick with threaded. Come on back.