Does a thread on Diamond Cup Grinding Wheel need a locknut?
The Dewalt person is correct.
Use the locking mechanism of the grinder to keep the shaft from turning while you  tighten it down by hand. (Always unplug the grinder when replacing discs.)
The rotation of the shaft is such that it will cause the wheel to tighten, not loosen. There are flat spots on back side of the wheel that you can get a wrench on, but there is no need to torque it down very tight.
The locking nut/washer is used for discs that are not threaded, such a cut off disc.