I just put brand new Warn Premiums on my Ford, also Dana 44. No gap on the caps. You might measure from the outside edge of the hub in to the surface of the inside part where the screws go in.
Then measure from the edge of the cap to the deepest part. If the cap in bottoming out on the locking part inside the hub, then it will never seal.
But if its not, then you might try running the screws all the way in and out without the cap.
On mine, the screws were really tight in the locking part, I was very careful not to strip them out or wring them off.
Plus, mine are very hard to lock also. Its a combination of really strong detents in the locked and unlocked positions, which I assume will get better with use.
And the really strong wavy spring they use to engage the hubs.
If the teeth are not lined up, it has to compress that spring, and that is not easy. As a test, try turning the hub until it gets hard to turn.
Then reach around and turn the axle slightly and listen for the hub to snap into place.
Once it does, it should turn easily the rest of the way.
Or, turn them to lock, drive it around a little, with the transfer case in 4wd then shift out to 2wd.
Drive in a straight line for a second to eliminate any loading.
Turn the hubs to unlock, then try back to lock without moving the truck.
Since the teeth are still lined up, it should be easy to go from lock to unlock and back.