The nut usually gets jammed at the bottom of the threads. You can put the cap back on and that will allow you to break the nut free, then remove the cap again and hopefully then you'll be able to spin the nut off. The other thing you can do is install a pair of metric nuts on the top of the threaded rod, jammed into each other.
The other thing that will cause the lock nut to be difficult to remove is if there is a large spring preload bearing against it. You can try pushing down on the spacer (and spring) to relieve some of that pressure.
If I was forced to grab the damper rod to get the nut and cap off I would be sure to use soft jaws in the pliers (don't score the rod) and grab the rod as high up as possible away from where the rod enters the cartridge.