I have this hole on some of mine too – never used it, only the top three but I thinks it's for dies that are not split – ie don't have a gap so they are held in two places?
If you have a screw in the centre in the split this stops the die rotating but when I was taught to use one I was told you could slacken this centre screw and tighten the outer screws to close the die up a bit to cut a deeper thread?
I never bother, just do all three up, never very tight and nothing has slipped so far (the force it trying to rotate the die in the holder and the screw in the split stops this?)
If I am wrong I am sure someone will correct me
Chris