I bought the retro peg w/o male mount pegs. I believe the part # is 4401. I didn't have to take a set screw out anywhere. My left rear peg kept dropping while I was riding so I took it apart and stretched out the spring and reassembled it and it stays up now. Still confused about the set screw though.

Are you saying, when you took off your peg, the set screw was there holding in the ball?

Rick