If you are testing the glow plug outside of the engine confirming that it works, well then thats it, it works. The only reason it wouldnt work when its screwed down is because your arnt attaching the glow warmer properly.

By the sounds of it its either your tuning, your fuel, or, the glow plug, not that it dosnt work, it may just be the wrong heat for the fuel\engine. Or it may need replacing have you tried that ? Have you ever run your engine properly before or is this break in ?

What fuel are you using ?