Yes, the setscrew can thread in either way. Access from the bottom is somewhat limited, a ratchet driven key works well. Ideally someone whose machine does not lock as well will try this and report back, or report that theirs is already this way to rule it out.
The only one I have access to is the same as in your pictures, and it locks up fine. I like the bushing though, gives the action a bit of precision and I would expect it to lock as well with less force. For those whose way tube assembly isn't locking well, I feel certain that the screw is moving around in the Headrest hole because it is such a loose fit. The bushing eliminates most of that play between the locking screw and Headrest casting. Clearly this is not the cause of the problem, but earlier in the thread RFGuy asked about differences of previous versions. Functionally, the bushing significantly changes the behavior. But we know the machine should lock either way.