The set-screw is for a notched steer-tube. It just works like a washer that has a tang or a flat, which helps separate the lock nut from the race nut by keeping the washer from turning when you adjust the nuts.

These are nicer than King's in my opinion. The bearings are removable. So if you want to remove the logos, polish or re-anodize it's no problem. The quality is as good King.