I was just about to change my old shower hose, and I noticed that the new one doesn't fit, because it doesn't have a similar screw as the old one, as you can see in the following picture. The old one is on the left, the new one on the right. Also, on the producer's website, it says "This shower hose is compatible with most shower heads, with the flexible hose and stainless steel body."
It looks like there is an adapter stuck in your old shower hose. You can try to remove it (needle nose pliers and a wrench might work here) or look for a similar adapter at your local hardware store.