Replacing a tub spout and the screw tightens while off the pipe but won't tighten once spout is placed over pipe - this is a non-threaded pipe with a spout that has the one screw (allen wrench)

The allen screw only needs to tighten enough to keep the spout from turning and blowing off the pipe. There is an oring in the spout that makes the actually seal. You don't want to overtighten the allen screw, just snug it up. If you can slide the spout on and snug up the allen screw, you should be fine.