Often, the threads are not perfect, meaning the 4-40 thread may not be exactly within tolerance. This is not the most expensive hardware on the face of the earth. When they are mated, the rod and the clevis, there may be some wiggle in the fit, even when it is screwed way in (but for adjustment purposes, only screw it in about half way so you have some room to adjust for fine tuning the elevator, rudder, and ailerons).

The 'check-nut' is there to tighten up against the clevis and keep it both tight and straight. If it wiggles, you could get some control surface flutter. Even a little flutter caused by a loose connection could eventually cause problems.

DS.