Take the coverplate back off slip the set lever in and tighten the set lever screw. Replace coverplate.
However, the problem also appears to be that the set lever screw hasn't been put back in. It goes in under the barrel bridge, from the other side.
Yes, it's the setting piece, which fits as follows:
As roughbarked says, the screw retaining this piece is fitted from the other side of the plate and you have to put it place before the barrel bridge is fitted, because it has a flange which keeps it from dropping out completely:
The screw also has a shoulder which allows it still to turn in the plate whilst screwed fully home in the setting piece.
Once the barrel-bridge is set and you're working on the keyless mechanism on the dial side, you can screw the setting lever in place. FWIW, I place the set-lever over the protruding threads of the screw. Then, with a finger cot, or perhaps a piece button of pithwood, I hold the lever in place with my left hand and invert the movement so I can turn the set-screw. It usually catches pretty easily.
Another thing, there's sort of a magic number of turns to turn the set-screw to release the stem without having that set-lever drop behind the dial, 1 1/2 turns. So to install the stem after a fresh assembly, turn the screw all the way in. Then back it off the 1 1/2 turns, slide in the stem, and tighten the screw. Sometimes a little extra 1/4 turn is needed get things set. Good luck.