Don't know what the factory issue is on that particular indicator but it would be relatively easy to fabricate a version of the common cross drilled cylindrical head bolt and sleeve system used to hold round shaft mounts and adapters. It's common for indicators to either have a built on round shaft or some sort of adapter fitting either a lug on the body or slender Vee grooves on the body. Common shaft sizes are 1/4" and 6 mm Ø.
Unfortunately I don't have a piclture to hand of the common system based on a bolt with a cylindrical head cross drilled to accept whatever size shaft the system is built for. A closed end sleeve drilled the same size is a loose sliding fit on the cylindrical head with the drillings offset sufficiently that when the bolt is tightened the holes no longer align. Clearly if a round shot is passed through the holes in both sleeve and bolt head things will be locked in position when tightened up. Generally a round, knurled, nut is considered sufficient. The closed end of the sleeve provides something to tighten against and prevents the sleeve from falling off when no shaft is fitted.
The closed end is commonly made conical (ish) with a matching recess in the base end but flat works fine.
Clive
Jason is probably right as to the factory intentions as what he describes works in exactly the same way. Easy to check. Just screw down further and see if the end of the thread appears in the cross hole. Not one I've seen.
Edited By Clive Foster on 22/06/2023 14:34:56