Hi there Billy, and congrats on your new engine there
There should be a spring on that screw, holding the cylinder against the chest.
The sightglass should have gaskets, both inbetween blocks and boiler, and glass and blocks.
All parts is available from Jensen, if you arenīt going to source them yourself.
Hereīs a guide on Rogīs website, explaining the fitting of gaskets in the sight glass blocks:
https://www.indianarog.com/restorerstoolbox.htm#86374097