Don't do it. I almost stripped the plastic threads on the Leakshield as a result. "Hand tight" feels a lot different when things are lubed, plus I tried to make sure there's no air leak, so I did tighten it up hard on purpose.
When the seal is clean and dry, you can't really strip the threads by hands only. And the lube also didn't help with the air leak. Well, it sort of did to some extent, but didn't eliminate it completely.
Plus the grease would contaminate the coolant long term, even though I cleaned it up and it never touched the coolant. I guess the vapor condensation would wash it into the coolant eventually.