First, If the end of the router bit was bottomed out to begin with. As the collet started to tighten on the bit, it would get tight, but then there would be a little slip, before it makes it all of the way in tight. For this reason, you should always leave a little space under the end of the bit. If you don't the bit will come loose while you are running it, and it will end up ruining some wood. Usually the most expensive piece you have ever bought before.
Otherwise, make sure that you had the right wrench, and or the right nut for the collet.
>It sounds to me like the hardened nut may have cracked as you were tightening it. That's a fatal problem, but for the nut, not the router. Bosch will certainly be able to fix you up with a new nut and/or collet.
>If your threads on both the nut and shaft truly look ok, and it would be darn hard to strip them, then the only explation is that your nut has a crack in it. Unless of course your shaft shrunk or the nut grew. I'm going with the crack theory.