The nylock nut will be very hard to turn after it goes past the end of the thread. It's supposed to, it "locks" on the thread so the nut won't unscrew. Quite a pain when you have to unscrew one off a rusty bolt about half and inch, it won't spin freely until the nut is almost off.
Your new shocks will be somewhat stiffer than the old ones for a while, they will get a bit softer with some milage. Not as squashy as the old ones, though! How does it drive now?
Top nut should only be down far enough to two threads to show on the shaft, then lock the two nuts together. Nylock nut should be less than 1/4" down, or in the position the bottom nut would be.
Setting the nut correctly don't change the handling significantly, it just allows the rubber to absorb the initial roughness and smooths things out. That way you don't feel gravel and rough pavement through the seat.
1972 220D ?? miles
1988 300E 200,012
1987 300D Turbo killed 9/25/07, 275,000 miles
1985 Volvo 740 GLE Turobodiesel 218,000
1972 280 SE 4.5 165, 000 - It runs!