Dang, I had to do some looking and thinking. And I miss spoke earlier, I have had the cone pulley off before ... I changed out the bull gear and switched over to a serpentine belt. Thinking back on that and refreshing my memory with the diagrams here is how I understand these parts to work.
The setscrew LA-193 locks the cone pulley to LA 119-1 Cone Pinion gear (gear to left of cone pulley). The pinion gear actually has a sleeve that slides into the cone pulley, and that is what the set screw is locking to. So yes that set screw does have a purpose and it is not the "oil hole plug". 119-1 also has a sleeve bearing inside of it.
The other set screw, 0441 that is in the center pulley of the cone, is the "oil hole plug" (my pulley actually has "Oil" stamped there). That hole is in an area of the cone that is between two sleeve bearings (793 I think) that ride on the spindle ... thus creating an oil pocket in that area. You can see this illustrated if you look at the older headstock LA 108-1. I am talking about the non shaded area in the center of the cone, around the spindle, and connected to the hole that 0441 screws into. I'm not sure if I have ever read just how much oil should be put in there. I remember years back I put in a bit (I used to be in the more is better camp) of light machine oil in there and replaced the plug. Well ... I do remember it did not take long and I had oil all over the flat belt & pulleys. Did I put too much oil? Or are my bushings a little worn? Not sure, probably a little of both.