I've seen quite a few sound boxes for sale on Ebay that were missing their thumbscrews--some advertised as being in "perfect working condition."
I've also owned a few sound boxes that had stripped thumbscrews that had to be replaced.
Normally, for something like a Victor Exhibition, or #2 or #4 sound box, this isn't a problem, since the same size screw fits all three versions and is readily available from most well stocked parts sellers. A Victor Orthophonic sound box thumbscrew, I believe, is slightly larger--anyway, I can't get mine to fit my Exhibition sound box--but can also be easily found. (Given the pot metal Orthophonic sound box's tendency to swell and crack apart, that's often the only part that's salvageable!)
As for Columbia, Sonora, Brunswick, etc., the sizes may differ slightly, but again, finding a replacement from an antique phonograph parts seller is normally not a problem, even if an exact match can't be located.
For instance, I have a Paillard sound box that belongs to a chrome-plated off-brand portable gramophone, profiled here --
viewtopic.php?f=7&t=1941 -- that had a stripped thumbscrew. I sent the sound box to Great Lakes Antique Phonograph Repair --
http://www.victroladoctor.com/ -- and George was able to re-tap the hole and fit a replacement with no trouble. Normally, in fact, this is the best course to follow--re-tapping or drilling the hole so it exactly matches the threads on the replacement screw. If the thumbscrew fits too loosely, it can come loose when the needle tracks the record, causing the needle to slip and damage the groove. If too tight, and too much effort is needed to firmly tighten the screw, the needle bar's pivot joint could be damaged.
JDS