Googolando ho trovato questa risposta della shure:
"The design has been like this since the 1960's. As the grill is plastic, threads would be a problem as the grill could be overtightened and then crack. Threads also remove material from the plastic and make it more fragile.
The chosen design allows the use of a plastic grill that cannot be removed or over-tightened. The "downside" is that it rotates and that confuses some customers.
As the original designers of the grill are retired or dead, we may never have an accurate answer."
in particolare trovate qui il forum sulla discussione.. in inglese...
link