But then you'd also be adding yet another connection that can leak, between the threads of the doohickey and the tank.
With the groove and O=ring on the tank, you will shmoosh the O-ring some, but the groove alleviates total destruction of the O-ring. HOWEVER, any shmooshage outside the groove can cause leaks if shoomage is not shmooshed perfectly evenly 360° around the face of contact between tank side and regulator side.
I always use a nylon flat washer, pre-shmoosh, whether there is O-ring or not. I switch tanks rather than refill, and have had both grooved and non-grooved.