This makes me wonder if your zinc isn't a bit too long and is getting stuck on something inside the cooler? I too have never had one back out of the cap threads. Break off - yes. Disintegrate to almost nothing - yes. But have intact threads and come off the cap - never.
There can be subtle issues if you don't have the right length zinc. The cooler for my hydraulics has two zincs, one in each end. If you use the standard length zinc, it seems to work fine, but as you tighten the cap, the zinc comes up against an internal divider and snaps off. But you would never know it snapped off. I only discovered this by accident and had to disassembly the cooler and fish out 3 broken off zincs. The next size shorter was required.
Oh, and beware of using loctite. The electrical conductivity between the zinc, cap/plug, and cooler body is critical. I've never tried loctite, but would suggest measuring the resistance to be sure it's OK. Have any of you guys checked that? It might be fine - I just don't know. I know that pipe sealant works fine on the plug threads, but teflon tape does not.