Perhaps I'm not following you. The powder funnel (powder through expander) rides inside a 7/8" threaded die body that is essentially a hollow tube. The expander is free to move up & down inside that die and it is the upward movement of the expander that activates the powder measure.
There is no set screw securing the expander (powder funnel)
You can screw the outer die body in or out of the tool head to set the correct height when the powder funnel is in the fully raised position (against the powder measure with the measure at the maximum height). That sets how deep the expander is forced in the mouth of the casing.
Assuming the expander has the correct dimensions and shape for the portion the that enters the case mouth, the only other adjustment is the total height of the die body and that's adjustable by screwing it in or out of the tool head.
Here are some photos of a 40 S&W powder funnel :
Powder funnel die with expander (powder funnel) together
powder funnel die body (top) and powder funnel (expander) below
powder funnel, or powder through expander, shown outside the die body.