That doesn't sound right to me either. Whatever you do, DON'T force the screw in either direction. It should turn with very little effort once the locknut is loosened. Forcing it can break the aneroid capsule inside, which will effectively destroy the ALDA. If that happens, you need to get a used one (new ones are megabucks from Bosch). There are photos of what the ALDA internals look like at this URL:
http://www.meimann.com/images/mercedes/OM603_injection/
If it leaks (won't hold pressure or leaks down fast), a new shaft seal effectively "rebuilds" them for under ten bucks (if you can get the seal from Bosch). I've rebuilt two now and it worked great.
