The Heavystar adapter screws into the lens leaving about a 1mm space between the adapter ring and lens front. This fit is just like the real SNHOO, which I also have. My 12585 hood fits over my Heavystar adapter with mounted 39mm filter, and clips into place on the lens with no problem. My 12585 hood also reverse fits over the lens, adapter & filter with the matching Leica 14033 slotted plastic cap in place on the hood, (lens extended).
It's true that a metal E39 lens cap is not deep enough to extend over the mounted filter and adapter to reach the lens barrel. This is the case with the real SNHOO as well. Aftermarket pinch 39mm lens caps are available on eBay which will fit into the front of a 39mm filter.
I don't know why your 12585 hood does not fit. What seems to be obstructing it? If it's the Heavystar adapter, there must be variation in the samples. As I said, my 12585 hood fits on the lens with the Heavystar adapter and 39mm filter in place, both in the forward and reverse positions, (lens extended).