Can't get threaded connector all the way into shower faucet. Do they need to go all the way?
It may not be necessary to see all the threads "disappear" for the two ends to be fully engaged and tightened. 

You could measure each end (male and female) to determine if they are substantially different to determine if the shorter of the two is fully engaged.  

After you cover the male end threads with a couple winds of Teflon tape and thread them together very snug, (be careful not to over tighten) the important thing is that the connection does not leak.  If you don't leak, you are all set, regardless if any threads on one side (feed line or faucet) are showing.