Try to hand thread a lug bolt into the new filter (M14 X 1.5), if it binds its a defective fuel filter.
Chasing the threads with a M14 X 1.5 tap may save it.

If the lug bolt doesn't bind (unlikely from what you described) you probably have a defect on the fuel filter banjo bolt.
The threads may need to be cleaned up with a M14 X 1.5 die.

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78 W116 300SD 'Desert Rose' new as of 01/26/2014
79 W116 300SD 'Stormcloud' RIP 04/11/2022