Send it back to the manufacturer if possible.
If that is not possible. Clean the pivot screw threads with rubbing alcohol a few times in both the male and female ends with a few Q tips then try Loctite again. Sounds like there may be an adhesion issue due to perhaps a thin layer of oil or debris.
If none of these ideas don't work you can try some Teflon plumbers tape. Wrap a few times around thread tightly as possible. Then screw it together. I will tell you though it is hit or miss on adding too much to allow for screwing. Try 4 or 5 wraps. And if it is too much and bunches up or does not allow connection to be made. Take the remainder off and wrap the threads with one less wrap. Also go counter clockwise with the Teflon plumbers tape if you try it as that will help keep the tape on the threads upon screwing as opposed to going clockwise.
Thanks for this thorough and kind advice. The headline is that the situation is resolved. The culprit was excessive Nano oil in the bearings (my heavy hand) that leaked into the screw threads. Thorough cleaning with rubbing alcohol and then allowing the Loctite a full 24 hours to set fixed the problem.