Hello all,
First of all, I would like to thank David (Klarinettenmeister) again for opening this interesting and helpful thread, and for his kind assistance through the process of fixing the problem with the "mysterious" screw on my 37994. Also, many thanks to GTSE800.
I would like to share with you some of the pictures that I took of the loco entrails during the process, and some other information that I've been able to collect.
Because it is in my nature not to leave any stone unturned (I'm a scheduler by trade!), I wrote an email to both the Märklin Kundendienst in Germany and to kind Miss Brenda at Walthers. Miss Brenda was able to get the part number for me (the mysterious screw, which does not appear on the locomotive's part drawings). The part number is:
E753000 (old number 753000), in case yours needs to be ordered. However neither Märklin.de nor Walthers technical departments (the former never answered and the latter got the part number for me) seemed to have a clue about why the screw was "found" rattling about in the box. The latter believed it was placed there by mistake, i.e., an "extra", bonus screw may have been put on the Lok. And then some! As it turns out, this screw holds in place the front carriage of the locomotive, which otherwise may shift apart while the cardan rod will get dislodge during the process and the front wheels will simply stop running on you. Lovely!
Some background information: from what I have been able to read, the issue with the "mystery" screw seems to date back to the early 37990 (34990) BB. I only learned about this screw when I found it rattling about in the box of my 37992. Since I had to send that loco back to the factory for getting the sound speaker repaired (which melted during the warranty period), I asked the then Ken Brzenk to also solve the problem with the screw. However, he never told me where the screw would go. I remember checking in vain the part drawings of my 37990 to try to find it. I still have to check now my 37990 and 37993 to see if the screw is to be found in the box, or if it is still sitting loose inside the loco. Conclusion: the screw is a recurring problem and, despite Märklin having sold at least six versions of BBs or so, it is still not shown in the part drawings!
My friend Eduardo, on this forum, has a theory: the nice, long-nailed ladies at the Märklin factory may need, for some technical reason, to loosen the screw, or not to screw it all the way in, during the assembly process of the chassis, and then totally forget to fasten it good on some of the BBs. It seems a logical theory to me, and I'm willing to endorse it.
Now, how come, after 13 years' or so of manufacturing BB, Märklin.de do not have a clue of why it is found loose in the box? Only the gods know. And why haven't they taken the pains to correct the drawings on this $900 Lok for us mortals to understand? I might never know. Maybe one of our honorable German-speaking members on this forum would like to convey this request -auf Deutsch- to Märklin.de. They might listen. (Maybe Herr Lutz is sneak-reading this post and he may follow suit.)
Here's what I did. The loco doesn't need to be fixed to its wooden base. I removed first the caps that hide the screws that hold the locomotive's upper body (boiler). The larger cap is a bit tricky. I carefully used an X-acto knife to pop loose the cap. In order to locate the hole where the screw goes, please look first at the following picture (courtesy of Klarinettenmeister):

There are two screws that need to be removed in order to lift the circuit card and get to the right spot. One of the screws is on top of the green card (to the right) and the other screw is on the left, right in the middle of the copper contacts for the smoke generators. Lift the card carefully in order not to disengage any of the soldered cables.
Once this is done, the spot can be found easily just below the cardan rod and white cup:
You'll need plenty of light, a magnetized small flat screwdriver, and possibly a lamp with a magnifying glass (if you are like me). Once you've positioned the screw vertically in the hole by lifting it with the magnetized screwdriver (you may need to move the front carriage of the locomotive slightly back and forward for the screw to find its right way in), fasten the screw by means of the small screwdriver which you will have to insert sideways into the screw's slot and turn at 90 or 180 degrees at a time until you've completely fastened the screw. Be careful not to damage or dislodge the cardan rod from the white cup. Be patient!
Here's the screw finally fastened in place. Now you can put the boiler back on and fix the screws and caps.

That should take care of it. Now I'm able to enjoy my 37994 exactly like it was meant to be.
Good luck!