I don't have a Harbor freight compression tester, I have a KD, so I've not personally dealt with this adapter problem. That said, if you look at the end of the adapter, not the quick-connect end, the other end, you'll see it has a tapered seat, like a brake bleed screw. That's what seals your compression in, so no compression actually gets to the threads. That's important for the glow plugs while the engine is running, you don't want combustion pressure/heat going to the glow plug threads, but when you're just testing compression with an adapter it's not so important.
So if you want to cut the adapter down or use a short adapter like Nero has pictured, that will work. The compression will just be sealed in by the threads rather than a tapered seat.
If you use a cut down or short adapter that doesn't have a valve inside of it that will effect the absolute pressure reading somewhat but will still give you a good indicator of the relative pressure difference from one cylinder to another. This is because without a valve in the adapter the motor has to re-compress the air inside both the gauge hose and the combustion chamber every compression stroke, but with a valve in the the adapter the motor only has to re-compress the combustion chamber every compression stroke and the pressure is retained in the gauge hose and not vented out making for a more accurate test.
So if you can figure out a way to retain the valve in the adapter that will give you a more accurate test but without the valve the test will still be able to show you the relative pressure difference between the cylinders and still be fairly accurate.