Most scroll chucks come with a grubscrew/setscrew that secures the chuck to the spindle. This is necessary only if the lathe is in reverse since forward direction continually tightens the chuck.  Here are two types:

sku: G0606/size: M6x6 with a cup point

dimensions: 0.06 x 0.02 x 0.03 in

sku: G0810/size: M8x10 with a knurled bottom 

dimensions: 0.08 x 0.02 x 0.03 in

Where does it go? Direct threaded chucks #9 & #10 not used(with the exception of the 4-threaded direct chuck)