How do I adjust a rear bearing (?)

Wheelset: Gimpiemme Monolith 024.

When I returned from my ride yesterday I noticed that there was play in the cassette (sideways
movement). I removed the cassette and noticed that the cone shaped nut (held in place with a grub
screw) had worked loose. I removed and cleaned everything but I don't know how tight I should do up
the 'nut'. It is completely round so hand tight is all I can apply..is there a rule for how tight
this should be?

I also noticed while checking the front wheel that 1 grub screw is missing, is it important I get a
replacement...the QR holds everything tight. Are these a standard size?

Many thanks in advance.

Mark