Datasheet/screw function on XY-MK-5V 433 MHz receiver?
The component in question is called a variable or tunable inductor. The screw slot is in a ferrite material that cams in or out of the coil form as it is turned. The inductance varies according to the position of the slug relative to the coil.

The reddish, clear material on top of the coil form is a sealing compound to keep the ferrite material from moving after it was properly adjusted.

The tunable inductor, along with a capacitor, make up a resonant circuit. By varying the value of the inductor, the resonant frequency is adjusted. In this case, it likely sets the receive frequency.

Edit to get it tuned back on frequency:

Just move it a bit away from the transmitter and adjust the slug until you start receiving. Find the middle position of your turning where it receives. Then move it further away and adjust again slightly. Keep doing this. Each time you will notice that it gets more touchy to adjust to the center of the adjustment. Stop when you cannot improve it with slight nudges. You are then back on frequency.

To help you see how much you are turning your "twiddle stick" (which should be non metallic) put a small piece of tape on the shaft and let it stick out like a flag on a staff.