Something is wrong.
First, take a look at the magazine for anything preventing the cap from screwing down.
On the Wingmaster and all older 870's the magazine spring retainer is a split steel "spring cup". The cupped end should be down, and nothing should be sticking up above the end of the magazine tube.
On the Express guns, there is a "toothed" plastic bushing that stickers up out of the magazine tube. Check this to be sure you can press it down into the magazine tube.
With the barrel OFF, screw the magazine cap on to be sure it will screw all the way down.
Put the barrel on and again check to see if the cap will screw on far enough to snug up against he barrel support ring.
Check the barrel support ring to be sure nothing is interfering with the magazine cap.
Things to look for are burred, bent, deformed, or otherwise damaged support rings.
Check the INSIDE of the magazine cap for burrs or foreign matter that might be preventing the cap from screwing down fully.