Good luck, they are hard to find. It is a 2mm screw, and most Ace Hardware stores carry it. Be careful, as it is just 3mm long. Any longer and you run the chance of touching the circuit board inside. If you can find one, use a pan head screw. If not, a round head and a very small lock washer will work.
You're correct about the screw grounding the cable. Lots of folks miss the screw , loose it, or just don't install it and end up with all sorts of RFI problems. The major one is shutting down if the power is over a certain level.