Covered over and over in the archives. I'll summarize but please do yourself the favor of researching the matter.
The long nut on the threaded shaft that you turned is the adjuster for the belt tensioner. You're right in assuming that it does nothing except ruin threads if you force it against a torqued tensioner.
Look down into the engine just to the right of the power steering reservoir. You should see something like in the picture -- a pointer along some sort of scale. In a good tensioner, proper tension is achieved when the pointer is at the gap or the heavy vertical line (not sure which anymore). If your indicator shows proper tension but the belt is loose, the tensioner is shot. If the indicator is further down the ramp, there's room for adjustment.
Some models have a ramp as in the picture, some models have a graduated tick marks, and there are probably other adjustment indicator schemes. Don't be surprised if you don't see a ramp, but the intent is the same.
I've never worked on a 124 but I assume it's tighter than a 126. You can probably get away with replacing the belt without removing the fan and shroud (they have to come off together in some cases) but the difficulty is in getting a proper 19mm wrench or socket on the tensioner bolt with the shroud in place.
Going back to the picture, you can see the head of the 19mm head tensioner bolt. It's the gold colored piece between the bracket and the grooved pulley (belt is off for clarity).
To adjust the tensioner, whether to loosen it to remove the belt or tighten it, loosen the 19mm head tensioner bolt a half turn to a turn. Don't pull it out or you'll have to reset the tensioner adjuster and that's just too much fun for one day. Once the 19mm head bolt is loose you can move the tensioner by hand. Clockwise on the long adjusment nut tightens the tensioner, counterclockwise loosens the tensioner, just as you'd expect.
Tightening torque for the 19mm head bolt is 75Nm.
I won't go into removing the fan and shroud here because there are variations in M103 applications with regards to chassis, year, RWD/AWD, etc. and I just don't know them all.
I won't go into replacing the tensioner either because I don't know how the hydraulic pump of a wagon complicates matters.