You should be able to find a replacement at WW Grainger (www.Grainger.com) or McMaster-Carr, you don't have to try to get one from Orion or Sky Watcher. I prefer Grainer because they'll ship to a local storefront for you to pick-up for free (otherwise both suppliers will charge you something like $10 for shipping). Another place to look is Fastenal. I am almost positive Grainger has stores in the Bay Area. If you go to a website, do a search for "thumbscrew" rather than "set screw". If you do a search for both, you'll see the difference. You might have to call whoever you decide to buy from and see if they'll sell you just one (or three so you have spares), otherwise you might get stuck with a pack of ten or more.
Oh, and metric people do things backward compared to those of us who live in advanced countries ( ), so look for an M3 x 0.5 or M3 x 0.6 screw (M3 x 0.6 if ThatsMyCoffee is correct). Imperial/ US customary threads are specified by how many threads per inch the fastener has, metric threads are specified by how many mm there are "between" threads.