It is actually a plug used by the manufacturer to plug the hole that connects the cavity under the nipple to the breech's powder chamber (a under bore sized hole in line with the bore and located in the breech plug).
When drilled from the outside, the hole needs to be plugged and that is the purpose of this screw.
Some guns which have a powder chamber also have a hole that connects it with the cavity under the nipple but their hole is drilled from the powder chamber or barrel side rather than from the outside. Because there is no external hole when this is done, no external screw will be found.
Some folks remove this screw when they are cleaning their gun. Doing so allows them to run a pipe cleaner thru the connecting hole to remove the fouling.
Others don't like the risk of damaging the screws slot so they never remove the screw and instead, run the pipe cleaner down thru the flame channel by removing the nipple and sticking the pipe cleaner in thru the nipple hole.
The most useful thing I've found for removing this screw is when I have "dry-balled", or loaded the ball without a powder charge.
Removing the screw and trickleing some fine grain loose powder down into the flame channel hole is pretty easy. Then replacing the little screw and capping the nipple the "dry balled" load can be shot downrange.
In guns which don't have this external screw/hole the same sort of discharging a "dry ball" can be done simply by removing the nipple and trickeling the powder into the flame channel thru the threaded nipple hole. Then by replacing the nipple and capping it the same ball removal technique can be used.