Correct. Apparently from my reading prior to purchasing one the difference on some adapters is that the M42 threads don't recess all the way, which on one hand makes it (supposedly) easier to unmount the adapter without extra tools, but leads to infinity focus problems as you say.
I've had no problems with the generic adapter from B&H, but it does require a small (included) "wrench" to unmount it. Apparently the official Pentax adapter also focusses properly and doesn't require any tools to unmount, however, they are hard to get - I called Pentax US directly and was told they are in short supply and high demand, and were only produced every couple of months, and there was a long waiting list.
But, given the common availability of K-mount cameras, esp. for the me the ME Super with its aperture priority features and its size, I think it's a good trade-off (my M42 mount lenses are manual-only anyway, so no loss for me there).