You mean to lube the socket on top of the pushrod...
The hole in question is simply a drilling access hole from the manufacturing process. It gets drilled all of the way into the main rocker shaft bore of the lifter, then oil comes out from the rocker shaft to the adjuster, and runs down the lower threads of the adjuster to oil to tops of the pushrods. So even if you wanted to put a set screw in there, you could...it would not interfere with anything. But I think it might not take much pressure to bust out the side of the adjuster in that area.
The Crane adjuster with locknut solution is the way to go.