Are you talking about the top bolt (for preload setting on spring) or the damping setting on the bottom of the shock? If it's the top, you may have broken the bolt, It won't really hurt any thing but you will not be able to adjust it any more. If it's the bottom dial for damping, you should be able to continue turning it and it will click to the next setting. Keep in mine on both adjustments, there is only one way you should be turning them. The top both should only go clockwise and the bottom dial only to the right > . If you go all the way to the 4th setting, it should start over at 1.
2009 KLR 650