Floyd Rose Bridge Locking Screw Won’t Tighten

Hi, I recently got a Jackson JS32 and while I was trying to put the high E string back on I realised I couldn’t tighten the locking screw after a certain point, it only spun in place.

I took the screw of to look at it and around in between the screw’s threads was a “coil like metal flake” which followed the same pattern. It came off and broke since it was very thin.

Did I do something wrong? It’s only been a month since we’ve bought the guitar, I’m really worried.