The knurled knob is a blind tapped hole so the screw can be tightened into the knob more than enough to lock it on and prevent it coming undone when adjusting the adjuster.
Put screwdriver in the slot and tighten the knurled knob onto the screw with pliers. Then the knurled knob should be tight enough to turn the screw without coming off. Some threadlock can be helpful
However, mostly the knurled knob is there to prevent the exposed screw from snagging your pamty hose and Lycra
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