I'm not sure how to help you with the set screw thing but I can suggest using a split clamp type collar to provent the impeller from "walking" o the shaft(providing there is room for it). I have not had this particular problem with mine as I only purchased it used recently. One thing I observed when looking the machine over before purchase was a LOT of noise and what appeared to be backlash in the gears. I was not going to purchase it until the seller corrected the problem. I did not want to end up replacing the Auger gears at a cost of roughly $500. The seller disassembled the gearbox etc. and found the gears to be in good condition, but there are square keys in the hub and shaft that were worn. Once these keys were replaced the noise was reduced to almost nothing. Another thing to check is if the universal joints in the drive shaft are in "phase" mine were not which was a significant contributer to the noise/wear also.
Not sure if this applies to your situation but it is something to look at.
-Scott