Thanks to everyone who commented, I actually found somewhere that can order them in, so I'm going to get a price, they probably won't be cheap, this style grub screw was the standard one that came with my Mill, I've never seen them before, and I'm surprised they're not more common given it takes away the chance of losing the correct position when you tighten the locking nut, If they're too much I'm going to replace my Lathe with them too.
Ideas on how you could make them, I's use stainless, make maybe a 2mm hole all the way through, then use some thermo plastic (if you've never used this before, it's very tough like nylon) soften if up in boiling water as instructed, and just push a bit through the hole, I might try this regardless.