It's better if it's attached, you could just use a zip tie in a pinch. You could probably use it ok without attaching it, but too much movement could cause some damage to the pcie slot over time.
Are you sure it's the right screw? PC cases usually have 2 types, a fine threaded one for optical drives and SSDs and a coarser thread for the sides and expansion slots etc. Sometimes the manufacturer does thing differently but the coarse thread is the more common one for this.