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You are correct. The middle hole in the pulley support is there to enable access to the screws on the gantry block below which secure the X axis rail to the block. I put this to enable the adjustment of the rail if required, post assembly as it's a pain to have to take off the pully support. Standard M5 x 60mm Allen bolts can be used for the two outside guide roller axles because the rigid nature of the pulley support turrets allow you to fully tighten the nuts onto the bolts and crush down the stupid little spring washers Tronxy use for clearance on the wheel bearings, however, the rear inner guide wheel doesn't have a turret and instead doubles as an axle for the belt pulleys. The reason for the nut sunk into the gantry block is to allow the tensile load to be trapped between this nut and the guide wheel securing nut, avoiding tension transfer to the unsupported piece of the pulley support and distorting it, crushing the belt pulley bearings. I designed it like this as I didn't want the belt pulleys to be subjected to being pinched between the pulley support and the gantry block. The problem with a standard bolt is the threads are nut cut far enough to allow the bolt to fully drive home (As you found out by the sounds of it), hence the comment in the instructions to either run a die down a normal bolt for another 10-15mm or buy M5 x 60 set screws which are fully threaded. (see photo). (Amazon sell a selection for around a tenner: https://www.amazon.co.uk/iExcell-Stainless-Steel-Socket-Screws/dp/B07Q1PC5CT/ref=sr_1_2?keywords=m5+x+60+cap+head+fully+threaded&qid=1566289073&s=gateway&sr=8-2
but I got a small pack of two from Ebay for a couple of quid.
The front inner guide wheel axle uses the original mounting screw which has a pozidrive head.
Let me know if this helps or if you need any further info.