Lyman 36 sights changed over the years, and have some minor variances in them. Many have the hole, and pictures show nothing in the hole. Some are simply flat on the end of the stud. Others have a shallow indent in the end of the stud, while some show a screw in the end of the stud. So it's tough to say if yours had the screw, or just the hole that isn't threaded.
Here's some great detailed pictures from a post a guy did on his:
https://www.24hourcampfire.com/ubbt.../10892204/Any_Lyman_receiver_sight_exper
