Well, I guarantee you what you
were doing is moving them up or down. The threads are so fine, it takes a LOT of turning.
So there's two ways you can do it:
1. Twist the paired collars (like you quickly demonstrated) to the left to lower the threaded body down into the red base of the coilover.
2. Remove the very bottom of the coilover from the knuckle (so its completely free) and spin the entire red base of the coilover up the threaded body.
Both ways take a little time and patience
And make sure you tighten the bottom collar to the red base once you're done!