if you bought it used the previous owner may have inadvertently cross-threaded the bezel once before and left a "rough edge" on a threaded area...Thats not something lube could help with. I personally think fenix's threads for 1AAA lights are too fine and every so often I find cross-threading and jamming inevitable...especially with cells installed.
If its a light bought NIB from fenix, it may be that the lube you are using are too low in viscosity for the application. [certain lube are for certain things, you don't use white lithium grease where axle grease is applied the same way you don't coat o-rings with petrol jelly but instead spray or apply silicone grease] Personally I use Nyogel [760G, but 779 works too] available from lighthound. 760G is a silica thickened, medium viscosity synthetic grease recommended by surefire in lubricating metal body lights.
Try cleaning out the bezel threads and the body threads by wiping it down with napkins, then clean it using rubbing alcohol. Allow it to dry before reapplication. If it still rough its beyond my expertise, should you be inclined to sell it on the forum, be upfront and honest about it. One mans baggage is another's blessing
hope this helps, cheers:thumbsup: