Most suppressors for the 9mm HK 3-lug mount use the diameter of the barrel forward of the lugs as the alignment surface, not the back of the lugs. For this reason, alignment is problematic without the thread protector. Some knurled thread protectors are too large to fit in the mount. The OD of the protector should be 0.590-0.591 inches for best results.
Also, on original factory threaded 3-lug barrels, HK says the weapon should not be shot without the thread protector. While this may be German over-engineering or may be related to wall strength over the threads, it is a good idea to prevent dinging the threads if you hit something..