There are two reasons I can come up with for the screw being there. One it is so that the bit can be installed on the stem after it is cut or replace it later if it if it needed to be replaced due to a lock change. Two it was easier to make the bit separate from the rest of the key for when they turned the stem.
I will agree it is not a normal key. Very few have that screw that I have seen.
Also something else to think about is when you give the key also give the link to this site so he can expand the knowledge on the rest of his collection and learn more. 🙁nerd):