The knurled pulley, sometimes called a hobbed pulley, is what grips the plastic filament for feeding into the printer

Remove the M3 set screw that came with the SeeMeCNC kit and reinstall with thread-locking set screw

Line up the center of the knurling pattern with the center of the ball bearing. Note the orientation of the pulley. Tighten the set screw down onto the flat of the stepper motor shaft.