On my 85 Combat the factory rear sight appears to be staked in place. There is a hole located at the front center of the sight. Through this hole i can see the staking mark. While i can not be 100%, having not removed the sight, i am thinking that there may not be a set screw.
The 22LR Kadet uses the same rear sight Let us see if someone who has pulled one of these rear sights contributes to the thread.