Take the quill lock down screw completely OUT of the tail stock. Take a dental pick and scrape inside the threads where the quill lock meets the side of the quill.
Sometimes (I noticed it happening when I used a live center made for a metal lathe), the live center gets very hot, thereby transferring heat to the taper and the quill.
This heat buildup can cause the lubricant on the quill to crystalize around the quill lock. Until you free the "glue effect" at the quill locking screw, the quill will not retract.
DAMHIKT!