The threads can be a bit loose, but not much. They are 80 threads per inch, which means they have to be a fairly close fit to work at all.

As far as unscrewing the nut, it depends on how hard it was staked to begin with. Most of them are lightly staked and the nut can be unscrewed with a light bit of effort. Some are more heavily staked and can't be unscrewed without drilling out the stake. If you have to drill it, then the screw is usually too short to restake when you put it back in, so a new screw will be required.