There is a bit of a knack, sometimes mine screws in first time, other times it takes a few goes. I find it easier to do it with the syringe detached then push them together. Try and get tube inline with the hole, give it a turn in the wrong direction helps line the threads up, screw in.
If you think it might be the wrong size or thread, compare it to the grub screw you've removed, I'd be surprised but such things are possible.