Seattle Slug Installation
GLOCK SEATTLE SLUG CROSS-THREADED
It appears you have cross-threaded the screw by trying to install it from outside the gun (hard to tell in a 2d image, but that's my best guess). Next time leave the set screw inside the slug, put the slug into the gun, then back it out to secure it once you have the slug in place.
For now, here's the plan, we're going to use the set screw to clean up the threads by putting it into the slug from the other side. Please read everything below before you start the fix.
Take the screw out, take the slug out, and carefully put the set screw back into the slug -- but from the OTHER side (the "flat" side).
Ideally I would try to put the "head" end in first, allowing you to run the screw through the slug backwards -- but you can run it through forwards and then back out to clean up the threads (only). Running the screw in from the flat side is a little tricky to get started, but once you get the screw oriented correctly, it should turn in with little resistance.
From here I'm assuming you have the screw in head-first.
Once you have the set screw turned into the slug a little ways by hand, reach through the hole in the slug with an Allen wrench and turn the screw deeper into the slug.
Once you have the set screw in far enough that it can't be seen if you look at the slug from the side (a.k.a. flush with the hole on both sides), put the slug back into the gun.
Now, using the same Allen wrench, reach through the lanyard loop hole and back the screw out by a turn or two, so it is just below flush with the top of the hole in the frame.
You're done! Slug fixed and installed!