I believe the only answer can be that the bearing races weren't seated properly. Ron is correct. When you put the nut back on, you're supposed to wrench it hard while turning the wheel (or rotor), until it is difficult to turn the wheel. This seats the races and squeezes the excess grease from the working contact surfaces so the clearance can't creep any further during use. Only then do you set the clearance.

Don't worry about damaging the races this way, they can take it.

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95 E320 Cabriolet, 169K