This is the static pulley on your Z-axis right, no stepper connected(I just can’t tell from the picture without my machine in front of me)? Mine came with set screws, but lost one along the way and I never noticed anything wrong till I found the actual screw laying on my bench. The way the belt locks teeth between the adjacent posts I doubt if the set screws make any difference, and if the pulley is super tight it definitely makes no difference. That pulley and the adjacent posts are to lock the belt to the plate, if it rotated and allowed the belt to move your Z-axis wouldn’t move at all. It looks like a pulley, but it’s really just a belt locking device.