The bearing is stuck on the shaft. With taper roller bearings the second bearing to go on the the shaft needs to be a sliding fit on the shaft. This should be a very close fit but you should be able to just slide it by hand. The first bearing on the shaft is normally a press fit. In this way when you slacken the adjusting nut the shaft can slide through the rear bearing a little and the front bearing can separate a small amount. You can then re-adjust.
Without the rear bearing being able to side it becomes very difficult to adjust the bearing – which in itself is a black art – it also makes assembly and dismantling straight forward.
I converted my very early model Warco 250 Lathe to taper roller well over 10 years ago and after a little running-in and final adjustment it has been fine ever since.
Very recently I have been rebuilding the spindle assembly on my old Warco X2 mill, as part of my very very long running project to convert it to CNC. I have replaced the original morse taper spindle with an R8 version and fitted taper roller bearings. The lower bearing on the R8 spindle has a larger internal diameter than the top one. This lower bearing is a tight fit on the shaft and I spent a few happy hours making a "puller" to pull the bearing on. The puller consists of a bottom cup which fits over the lower end of the spindle, a ring piece which slides over spindle and engages with the inner race of the bearing, a length of 50mm steel tube which engages with the ring and extends beyond the top of the shaft and a top cap which fits on to the tube. The bottom cup and the top cap both have a 12mm hole. A length of 12mm studding is then passed through the assembly. A pair of nuts are locked together at the lower end and a large well oiled washer and a single nut to the other.
This "puller" worked extremely well and I was amazed at how little torque was required to smoothly pull the bearing down the shaft and on to its seat. In practice two of the "ring pieces" are required, one to fit the upper part of the shaft and part counter bored to the larger diameter to fully seat the bearing a little way on. The second "ring" is bored all the way through at the larger diameter to push the bearing all the way down on to its seat.
Before fitting the lower bearing I carefully measured and polished the the upper part of the spindle for a very close sliding fit of the upper bearing. The main point I found here was the need for a very small amount of lubricant when test fitting the bearing. Although a "sliding fit" had been achieved, with spindle and bearing fully degreased I found it almost impossible to slide the bearing on without it jamming and sticking. Spraying a little WD40 on to a paper towel and then lightly wiping the spindle and bearing allowed it to just slide on.