Grub screws don’t have a head, so double check that they are not loose in the hole but below the surface.
The screws are M3 (aka 3mm) with a 0.5 thread pitch. They can be 3mm to 6mm long.
Inventables does not sell the screws alone - they come with their pully kits.
Online, you’ll pay about $5 for two screws or $7-9 for a larger 50 count or assorted lot. I purchased this assortment: Amazon.com
If you cannot wait on shipping, you can use short M3 screws, or cut down a longer M3 screw. These can be found in the specialty fastener section of your local lowes/homedepot/etc. A bit of work with a file or sander does the job. For the z-axis pullys, having a screw head sticking out won’t harm anything as long as it is not rubbing the belt or the frame. These are what I cut down initially while waiting on the assortment package: https://www.lowes.com/pd/Hillman-3mm-to-0-5-Phillips-Drive-Zinc-Plated-Machine-Screws-12-Count/999994826
Here is what my pulley looked like for the last year with this modification. The irony is I never did actually use the grub screws from the assortment kit… I liked this configuration because it is easier to check visually.
These types of screws are also frequently used with radio control cars and drones, so if you have a shop nearby that caters to these hobbies, they may have some in stock.