The only way I can think the shaft would get bent is if you where really pushing the screwdriver into the slot while also rotating it. I have seen people do that - usually because they are using the wrong screwdriver and it keeps wanting to slip out of place.
It is possible that the shaft got crushed enough that the screw will no long hold tight - but I would not refer to that as a "bent shaft".
It seems odd - the machine would need a really lightweight bar - or a real gorilla was the one doing the tightening.
Since you just got it, I'd think the person doing the service before it was sold to you found a way to jam the needle in place so it would stay for you to try. They may have even put a dab of glue to hold it all in place. Did you get it from a dealer or private party?
BTW - I have a lot of vintage machines that those parts do come off, don't think I've seen that on any modern machines though. I've also seen some interesting "fixes" people have come up with in order to consider a machine "working" so they can get it sold.