Oh yes, thanks for the pic. This is a whole lot of hopeful. Previous suggestions are on target, and Bkay's description of stripped and cross threading are good. It would be really hard to cross thread a dinky set screw, but Igor may have been there in your machine's previous 50 years. With a little rubber hammer I'd be tapping on the end of the screwdriver while the base is in the slot of the screw. Vibrations can help.