Another thought: Those threads are usually pipe threads I think--which means they taper and get tighter as they are screwed together. Are you sure both are pipe threads?
I'm not sure what happens when a non-pipe thread is screwed into a pipe thread, but it seems quite possible to me that the result could be something that would not tighten.
I was looking at a VW sender on Fastlane yesterday (since mine is an idiot light and MB does not sell idiot light senders in US) and I noticed that the description said "sender may require sealing ring". That made no sense to me because I have no idea how a sealing ring would operate on pipe threads. But it does raise the possibility in my mind that there are different kinds of threads available.
1977 300d 70k--sold 08
1985 300TD 185k+
1984 307d 126k--sold 8/03
1985 409d 65k--sold 06
1984 300SD 315k--daughter's car
1979 300SD 122k--sold 2/11
1999 Fuso FG Expedition Camper
1993 GMC Sierra 6.5 TD 4x4
1982 Bluebird Wanderlodge CAT 3208--Sold 2/13