The set screw in the brushplate is to adjust the up-and-down play of the armature.
The diagram showing the lube put into the hole is for a more modern motor without the set screw. You can oil the top bearing of the armature by removing the setscrew. Replace the setscrew until it contacts the armature shaft, then unscrew it about a half turn and run the motor.
Thanks @TrainLarry. It's a NIB from 1980 I picked up on ebay so figured lube was wise. I've been through all 212 search results for GP9 on Lionel's support site but can't find a detail on the motor or trucks. My unit is the FEC 6-8064 from 1980. They have a two pager parts diagram but refer to other sections not provided.