Better late than never. I just ran into this problem. I agree the D tuna does have a set screw issue. That said I was able to get it working fairly well. Here's what worked for me:
Loosen locking nut
Tune the string to D
Tighten the locking nut
Engage the D-tun
Use set screw to fine tune the E.
Relocking the nut is the only way I could get it to tune correctly.