I've had brand new zerk fittings with casting flash that kept them from allowing grease through them.
If this is one of the stock funny threaded shackles, it may be that the grease hole happens to be sitting pretty tight on the shackle threads and there's not much clearance in there for the grease. It will probably wear in eventually but exercising the shackle may make it easier. I would just have somebody jump up and down in the bed when I was greasing it instead of bothering to jack it up.
