Mr. Peart
Funny meeting you here again. Banana plug trouble eh?
When you bend the wire over the threads are you spreading it around evenly and thinly as suggested by moreira85?
If you still can't get the thead started that way, install the wire in the side hole. Be sure to stick little enough of it in so you don't have wire sticking out the other side after you screw in the threaded end. You could also cut off any wire sticking out with dikes. If you can see it, that's ok.
This is actually the best way to use that model of plug as it leaves the rear hole open to accept another banana plug for biwiring.
If that doesn't solve your problem, call monoprice. There customer service is second to none. They may have a tech that can help you.
If your ready to bail on this whole thing or really want the wires to come in the back of the plug, just reorder the screw down type. I'd hate to see you waste bucks on those other wires you mentioned.
By the way, did you buy a receiver? How are those 20's treating you?