I have this same loco and discovered this situation some years ago.
What you have is the screw shown earlier and the female bushing it goes into, locked together to act like one piece.
The reason it has no threads is because it is the female bushing part that is pressed into the drive wheel. MTH used blue thread locker on the screw threads that was stronger than the press fit of the bushing into the wheel. If you heat the screw with a soldering iron and hold the female in a pair of vice grips, you should be able to remove the screw. You can press the female back into the wheel and apply some super glue to the outside. But make sure the super glue does not get into the screw threads.
When you put the screw back in, use clear fingernail polish on the threads. You will be able to remove the screw later, but the nail polish is weak enough to not pull the female back out of the wheel.
