Well, I've finally caught the little bugger on photo. In my whole career, in the music and record business, I've never seen this screw in use in studios or by audio aficionados. And for some reason it hasn't been present on my own Beyer headphones either - I was almost convinced that this screw really did not exist, that it was just an illusion, a chimera of myth and legend.
Elusive it was, but exist it does. I caught it in flight with my Schmetterling net and mounted it on the DT250 for all to see:
It's so small and fragile that it's no wonder it always disappears, or is thrown away by wise professionals. It probably just ruins the thread and plug if pulled.
Ah well. Please submit your own experiences of this footnote in the history pages of headphone evolution: the screw that locks the plug.