It is better to fully tighten the thermal tube into the block. This isn't how they ship but it just works better that way. Then you tighten the nozzle to the block/tube assembly. It insures a tight seal agains the tube instead of the tube being loose and the nozzle bottoming out on the bottom of the heater block.

The nozzle will hang down a little further after doing this so be sure to tighten your leveling nuts before trying to level the bed again.