You have to be careful not to turn the stem when you remove the bonnet nut.
There are two designs in widespread use. The thermo valves use a copper crush ring inside the threads. That design is a carryover from industrial gas valves, and has the benefit (for applications involving corrosive or high-purity gases) that the threads are not exposed to the gas. DGX and Dive Rite manifolds use an O-ring to seal the bonnet, which is outside the threads, so that the threads aren't exposed to salt water.
As for your leak, replacing the o-ring may clear it up. There's also a teflon washer that may need replacement, or the valve stem may be scratched. All of these are available as service parts from multiple sources. It is helpful to use a very light coating of a suitable lubricant during reassembly. Like most divers, I use an oxygen safe lubricant (Tribolube).