From memory, when I trained on the No 4 Rifle as a Cadet the bolt head screws into the main body of the bolt. If it is not fully screwed in the rifle will not close properly.

Also check the serial numbers - is it the correct bolt for the rifle? If its not, and if it is not closing you may be able to get a good gunsmith to be able to fit it by judicious bit hard fitting. Remember that with the Lee action the locking lugs are at the rear of the bolt, not at the head like a Mauser / Remington. And they cock on closing - it's the sear that holds back the firing pin as the bolt is pushed forward. There is no camming effect on opening on the firing pin aka Mauser 98 or Rem 700.