That set screw is removed and replaced with the primer tube. The primer tube is then hand tightened to lock the shell holder and shell holder support disc.
The shell holder will have some play in it to allow it to float.
I had a similar thought about mine at first and used the drop tube to hold the shell holder in place. But, that's not the way to hold it in place. There are two removeable hard stop disks to insert at the back of the shell holder that holds it in place:
Adapter > tolerance stacking…. could stay with a “cheap” press if you don’t care about precision? Got it…the area 419!lock rings==tolerance stacking as well?