I'd say if you remove that silly screw you will be better off. The real reason for its existence is to retain the brake rotors as the car moves down the assembly line - it has brake stuff but no wheels and tires.
It serves only 1 use after the final assembly: something to get rusted and cause headaches for an owner trying to service his/her own brakes. If it gets very rusty, your only recourse is to drill off the head and twist it out with vise-grips. Really, that thing is just a PIA.
Cheers,
PH
Different strokes....
I think that it is a PITA
not to have the screw like on the B5's.
The screw is very helpful in keeping the rotor aligned with the hub. Consider that when you are changing a flat tire on the side of the freeway in a rain storm in the dark.
An iddy-bitty amount of anti seize compound on the screw head and threads keeps it from getting stuck in the first place. It also does not need to be tightened with a breaker bar...just snugged. It can't go anywhere anyway.
VW has started to use SS screws recently that helps the situation but anti seize insures that it will be removable when you need to do that.
I am in Michigan which is a highly corrosive environment. I put anti-seize on the lug bolt shoulder and threads, the hub center and rotor mating face, and the face of the rotor that mates to the wheel. Without it, the alloy wheels just dissolve where they come in contact with the steel. Water likes to wick it's way between mating surfaces and the resulting rust will cause the surfaces to heave. On top of that, if the rotor gets rotated from its original mounted position and you have a broken rotor screw that is not flush with the hub's surface you will be torquing the rotor down on a lump under the rotor-to-hub surface. That is likely to put a wrinkle in the assembly.