Dave, this is the first time I've seen this problem! Is the part tight, and/or are you sure the loose screw is from the thermostat guard? If it is, you will have to remove the back, as there is a nut on that screw. This is very unusual! Things happen, so don't let this discourage you about your new smoker. But, I have to say, this is a new one for me!
For seasoning, just put 2-3 of the hickory dowels in, with no foil inside, and let her rip at 250 for 4 hours. Good to go after that.
BTW, if you do have to pull the back, wear some latex or nitrile gloves - the insulation is itchy!