You did get a new one, right from the factory. They are apparently coming without set screws. Normally a part is removed and thrown away at the time it is replaced with a new one. I ordered 8 U-joints to fill your order and others with no issues except for the one you got. If you will measure the diameter of the set screw, I will see if we can find a suitable replacement. I believe each u-joint has 4 threaded holes. If you used only two (One on lower joint and one on upper joint) with a little thread lock, it will work fine.