Unless I'm reading the manual wrong, I believe that is a 6-32 set screw, which should be available at any hardware store.
Being a new NME owner, I don't really know how necessary that set screw is. My marker came with it missing, and the LPR knob seems to not move. I'd be a little afraid of using the set screw, as it appears to dig directly into the lpr knob threads.
Black System X NME, All-American Barrel, Bob Long Torpedo.
Halfbacked Spyder Xtra, Imagine frame w/ magnet mod, Dye Stickies, Trinity Q-lock, CP One Piece Barrel.