I've experienced the same.
Some of my filters screw in to my eyepieces/filter wheel etc better than others.
Could just be some variance in machining
It's bloody annoying, though.
Whatever you do, don't force it. I've found that it can sometimes just take a few gentle efforts of screwing the filter in and out to help the process.
Sometimes the threads on either surface have blackening agent or something else which needs wearing down before things turn a little 'smoother'.