Ok so this is a new one, never saw that feeder before. But i think the allen Key screw is there to hold the whole bracket with the bouden tube to the side of the stepper. If im correct there sould be another screw (maybe the indentation between Screw and Tube?) that presses the filament against the teeth of the feeder. Just have a watch for a screw that could possibly do this job and play around with it. If nothing of this works i would say contact the Support of the Vendor you bought it or the Factory itself, they´ll usually help pretty quick.
I hope i could help you out somewhat. If you have any other questions just drop them. You also could get me some more pictures and i´ll do my best to help.