I think that Kris is right. Perhaps you forgot to install the key in one side or the other. Hopefully you did not ruin the new coupler half or the shaft itself.
Take it apart again. Clean up the shaft with emery paper (Plumber's Cloth). Use Blue Lok-Tite on the threads of the set screws. Make sure that you leave around 50 thou space between one coupler half and the spider. If the spider was damaged in any way, replace it now and save yourself the aggravation of having to do this all over again. The space is needed to allow for expansion as the parts warm up.
Let us know what you found when you dismantled it.