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the only problem i had with mine was the kingpins were tight in the steering knuckles. i just run a drill bit through it (cant remember the size) and then they were fine. As far as the shocks go, they do have a very fine thread but are in no way WRONG like you say.
Maybe try turning the cap the opposite way till you feel a click (the threads line up) and then screw the cap on.
If your talking about the links that hold the rear and front chassis parts together then you should undo the tiny screws that pinch the ends closed. These should only be done up tight enough to still have free movement on the links.
I know a few guys have changed to the hot bodies centre shock as its all alluminium. i dont really have a problem with the Associated one though.
If your still not happy, contact Associated direct. i have not had to deal with them, but i hear they have excellent customer support/service.....