The blade holder will slide all the way down into the arm of the tool carriage. On some new machines, the arm that holds the blade holder is very tight. It will open, but may take extra effort to open up wide enough to slip the blade holder all the way in. This will loosen shortly after having the blade holder installed correctly.
The blade holder’s top (end away from the blade) has 2 tightening nuts. Both of these should be tightened all the way down on the blade holder before trying to load the holder into the tool carriage arm.