Fenders can’t be screwed on.

[Mike_P]

The illustration shows a circular hole not the wide slot yours have so looks to me like the wrong instructions have been included. Have you tried fixing them with silver coloured bolt?

 

[Jesse Smith]

Turns out the problem was an incorrect generic manual. Got them connected…to the regulator screw.

Even email tech support with the company, Schwinn Bikes, didn’t know!!!

 

[Cycleops]

I suspect that those instructions are sent out with a variety of models and don’t necessarily apply just to yours. You’ll have to use a bit of ingenuity to fit them.
The silver screw looks like it provides the best mounting point and as mentioned you might need washers.