Get a caliper out and see where the differences are, check the male splines for uniform OD (outside diameter), check the steering wheel for uniform ID shallow to deep, try to measure if the root of the splines are deep enough…compare all to your original steering wheel.
I would not hesitate to sand the outside of the male threads a bit, but I would not do that without measurements showing it would solve your problem, if I was not sure I would be returning the new wheel.
