The head of the screw may or may not fit flush with the side of the sight. What counts, is using the screw to center the sight in the dovetail/slide. So, install the sight, ensuring the head of the screw is captured between the ears on the plunger and THEN check to see if the sight is centered on/in the slide. If not, turn the screw a little, one way or the other until the sight is centered.
Just a personal preference, but I NEVER attempt to turn the screw when the sight is mounted on the pistol. I ALWAYS simply remove the sight, turn the screw a little and reinstall the sight in the slide.....then check for alignment again.