204Ruger

Why do they have the set screw when the locking nut doesn't move at all? (or maybe its just mine)

I when I thread it all the way in the way it is, I cannot throw the press arm all the way, but when I put a case in I think it goes all the way, but it makes a weird feeling at the last 1" or so of throw.

The locking ring (not a nut) on your die should be adjustable. It should have a brass hex head set screw in it to lock it in place once adjusted. Loosten the set screw and it should adjust.

Lower your press ram arm all the way down. Now run your die all the way into the press until it contacts the shell holder and lock it in place with the locking ring. Raise the ram arm, load a lubed case in the shell holder and lower the press arm all the way down. The resistance you feel towards the end of travel is the die sizing the case neck. The press arm should travel all the way down if the die is adjusted right. Hope this helps.

I took the set screw out and couldn't move the locking ring at all. I read somewhere else that it just gets stuck sometimes on redding dies so I will have to check it again.

Under the set screw theres another piece of (brass I think) with horizontal threads cut in it to prohibit damage to the die threads.
They jam all the time. Just use a large plier to get the ring started and it should loosen up. Usually these rings need not be adjusted very often if ever. If I change barrels/ headspace I readjust my sizing dies. I replaced all mine with Hornady nuts.