Don't fret and don't force it! If you force it, you will either strip the included aluminum screw heads or shear the screw.
Sometimes, in the powder coating process some powder dust can get into the threaded connectors for the plexi, despite them being plugged during prep. When this happens, the best thing to do is to get an M4 steel screw from your local hardware shop and use it to screw into the affected hole a few times. The steel hardware is harder metal than the aluminum screws included and will dislodge and clear any residual powder. Once done and the steel screw can move in and out freely, you can use your included screws.
This doesn't happen often, but it does happen. I have used the trick above many times and its pretty easy.