What about wraping it around the set screw? It couldn't hurt!
True, but it ain't necessary. The purpose of the bare conductor is to "shunt" the spiral wraps of the sheath, so they can't behave as the coil of an inductor during faults.
(Besides, the bare wire could increase the diameter of the cable enough to hamper correct insertion into connectors.)
That's important because the inductance could raise the impedance of the fault-current pathway enough to prevent proper OCP operation and/or to cause sheath heating.