I just upgraded my lathe, and replaced the tapered adapter on my
Stronghold Chuck. (I believe it's the same adapter as the Talon). The
new adapter did not come with set screws, and since my new lathe is
reversible, I asked Oneway about them. Here's the response -

"The set screws are M8. We stopped including them as people were using
them on spindles which were not built for set screw locking and
damaging their spindles and then blaming us."

Seems that reversible lathes have an unthreaded portion at the
headstock end of the spindle, and others don't. At least my jet 1236
didn't.

I went to Lowes and bought M8 1.25 x 16 socket head cap screws. I
haven't tried them yet, but the 16mm length might be a tad too short.
I'll know for sure when my lathe gets here.