Yup mine did the same thing until I figured it out. Loosen the nut another half turn or so, insert the tool holder, hand tighten about a half turn, the tool holder should still be loose. Make sure the tool holder is engaged in the spindle dogs. Try to pull the tool holder out, if it won't come out then tighten the nut and you should be good to go.
If you still have some trouble I'll post some pictures.