That screw is simply an over-travel adjustment.
The idea being that once the trigger has successfully dropped the hammer,
the trigger does not continue further toward the frame needlessly.
Ensure the weapon is clear, and while in double action mode, slowly pull the
trigger and note when the hammer falls and if you have any extra travel.
My shadow, out of the box was good, but after a trigger job, I needed to adjust
it. Continue adjusting in slow increments, and test each time. You will notice
that when you adjust too far, the hammer does not drop. Sometimes if you jerk the
trigger back, you can get it successfully drop but this is not where you
want it. Ensure that you can easily, while pulling slowly drop the hammer in
double action.
Next, test your single action. Ensure no problems arise.
Also, to keep your screw from backing out, use a non-permanent lok-tite adhesive.
I believe the blue is the non-permanent. Simply apply to the threads, adjust your trigger
and allow the product to set. Unless you manually adjust it again, it will not come loose.
Good luck, and let us know how it goes!