that screw attaches the cable arm to the moving pad's cam system... leave it as it is... the "Adjustment" is on the back side of the caliper, and moves the "non-moving" pad inwards toward the disc. SOME of those adjusters are held by a small allen set screw, and attempting to turn the adjuster, without temporarily loosening that set screw, will ruin the adjuster...

did you properly install the caliper alignment cups/cones yet?