I did a full LED swap last weekend and had no issues. Just make sure your bulbs are seated fully and the dust cap should screw back on with no problem. I believe they have a fancy quarter turn threading.
My best guess is that your LED's have large fans and are not allowing the dust cap to grab its threads. If it helps, I used TINSINCE H11, 6000k, 8400 lumen bulbs from Amazon and they fit perfectly. I saw that those were recommended in another thread. I am impressed with their light output and construction quality.
Good luck!