Nippy, I now see what you're talking about.
It looks like a poor design. Those headlights are used a LOT on street rods and hot rods over here and they never have s setscrew holding them in forward alignment.
But if you were going to have a setscrew, it would be better on the back side of the mount so it was not in direct path of crap from the road etc. I would also use anti-seize on the threads. I would take out the other side and to keep things in unison, drill out the other side headlight mount and over drill it as well.
Most setscrews are grade 8 in hardness and are very hard to drill out. You did great drilling out what you had.
I'm not sure, but you may be able to get by without the setscrew. If you used another serrated locking washer like the one you have on the wiring now, but adding it to the bottom of the top headlight bracket. This type of locking washers are very good in resisting rotation of the part being held in place. You just need another one or two up on top to lock everything into place. I would bet after that, you could not twist the tightened headlight with both hands. It may be good "enough".
Good luck and of course that was just a what if and my opinion. I have not true knowledge of how much vibration your headlights get out on the end of the mount like that.
