CJF,
I suggest you don't adjust your dies the way you do, even if the instructions say to do so. Once you fire a cartridge in the rifle, I suggest you smoke the case and adjust the sizing die to just 'kiss" the shoulder of the fired case. This way you are adjusting the headspace to fit the cases to the actual rifle (adjust it to a case fired in one barrel and verify with a case fired in the other barrel). This way you are headspacing on the shoulder, instead of on the rim, as you are now doing. By adjusting the die like you are now doing now it is likely you are pushing the shoulder back, and when it is fired, the case will elongate and likely result in head separation after only a few firings. It may be that the case elongates enough on the first firing that the end of the sized case strikes the ledge at the end of the chamber neck and beginning of the chamber throat. Or it may be that setting the shoulder back as much as you are likely doing may create a bulge at the shoulder. Either of these conditions might result in the problem you have. If you measure the head diameter of both an 8x57JR and 44-40 case and if they are the same, or very close the shell holder is not the problem. While you are checking this all out, it will be worth your while to check whether a .321-.322" or .323" bullet will easily fit into the neck of a fired but not resized case. If a bullet other than .318" will fit easily, it can be used to load ammunition. You will need to smoke a case to find what is causing the failure to close. You might not have a problem, unless it takes significant force to close the rifle. Good luck.
Mike
