I assume your talking about the little set screw that is located next to the nipple?
That screw is a plug to seal off the flame channel which connects the nipple to the powder in the bore.
If you shoot your gun without that plug in place, a tremendous amount of flame and smoke will be blown out making it a hazard for anyone on that side of the gun, and possibly creating a fire.
(Don't laugh. Our Musketman once set a bail of hay on fire by resting his Flintlock on it and then touching off the shot).
You should be able to get a replacement screw from Lyman, or from your local Hardware store IF they carry Metric threaded set screws.
Even if they don't carry Metric set screws, they may have some Metric bolts of the correct size.
The screw in my GPR seems to be a 4mm diameter, but I don't know what thread pitch it has.
If you buy the bolt, and you have a vise, you can clamp the screw in the vise with the threaded end up. Then you can use a hack saw to cut a small slot down the center of the thread. This only has to be about 1/16 of an inch deep.
After cutting the slot, use the hack saw to cut off a very short length of the bolt and use a small file to remove the burrs.
You now have made your first rifle part!
zonie
PS: don't forget to try the screw out to make sure it fits correctly before you go to all of that work to make the set screw.