Why doesn't my new SRAM XG-1295 cassette bolt turn freely?
It sounds like you solved the problem, so I'm going to hijack this thread slightly to provide some general info. The cassette you have uses the SRAM "XD" technology, which is unusual in using a "lock tube" instead of a traditional lock ring. The lock tube is integrated into the cassette and enables the cassette to have the otherwise too small 10-tooth cog. The tube is the part marked in the OP's photo. 

Although the OP's problem is with the movement of the locktube within the cassette, there have been a number of complaints in the past few years about the locktube seizing against the freehub, since there is a significant surface area of contact between them. Compounding the problem is the fact that the splines on the lock tube have a very low profile, so when excessive torque is applied to try to turn a seized lock tube, the splines shear off. Very often the result is that both the cassette and freehub body must be replaced. Search "SRAM XD cassette seizing up" for stories. 

The take-home message is that you should liberally apply grease or anti-seize to the freehub body whenever installing this type of cassette!