My assumption is you're doing all of this in unity.
My answer to doing this in unity, instead of blender is: DON'T.
@bdawg is correct about that. If they are not the exact bones that they use from the model's armature mutually to the nails' armature, they're not going to merge correctly. If you are dragging each and every bone that the nails use to the corresponding bone of your model's armature, they are again, right. It SHOULD work. But I read the description of the MDollnail, the item IS compatible with Modular. My theory is, you're using a prefab of the nails that are meant for a different model. If not, let me know. If MA's setup just genuinely isn't working for you, reading more into the description of the MD nails, try this. https://anlabo.world/manual/
HOWEVER, you can dig deeper in their twitter if you need further help.
