It is there to Slide in the Sun gear pin. Through the hole. Not needed IMHO. Just keep it closed snug. Don't strip it. Careful.
I never needed to take the grub screw out to insert or remove the pin. Using a needle nose plier is fine. But I sometimes remove that grub screw briefly to release excess Oil and air that is trapped inside the diff after I fill and screw the diff closed.
I like my diffs slightly on the overfilled side. Then release a drop of oil and air till it stops coming out, when the grub's hole is opened briefly, by rotating the diff a few turns. Then close it up snug. I can get consistent filling when done this way. Just my technique. Not many do this at all. Works for me. Overfilled diffs, can blow out Silicone oil past the (2) O -rings and onto the BB's. NG. Becomes a mess. Can even blow past the gasket. Depending on how thick the oil is. I find that the thicker the oil, the more pressure that is created internally.
If the pin must slide out of the Input gear's shaft, obviously the Sun gear comes off of it First. Get used to diffs, because they need regular maintenance and service. All RC's do. I suggest you watch some YT vdeos. It will help you understand diffs way better. Then, by doing it yourself, muscle memory will take over. Will be easy. The parts and all. Need to start somewhere. Just Need to watch someone else do it first. The best way. Watch several.