It won't hurt to remove the "clean out screw" as long as you don't lose it or cross thread it when you screw it in.
Speaking of screwing it in, more than a few of these end up jamming against the threads on the nipple and locking it in place.
Worse, if they are screwed in too far, the nipple will interfere with the little screw and seem to be tight when it isn't fully installed.
You might want to think about coating the screw threads with some "clear nail polish" and then only screwing it in until it lightly touches the nipple threads. Then, back it out 1/4 of a turn.
The clear nail polish will dry, acting like a very weak thread locking compound so the screw won't loosen and fall out.
By the way, the real reason the "clean out screw" is there is because drilling the cross hole to connect the nipple with the powder chamber in the barrel is most easily done with the drill hitting the outer surface squarely at 90 degrees.
Then, by just running a tap into the hole to thread it, the machining is done.