There is as screw inside of the motor assembly of the fan.

All pedestal fans (model 2535 included) have screws inside of the neck of the motor assembly. In this case, that screw is designed to pinch against the pole when inserted to hold it in place. Applying pressure and twisting the pole into the motor will allow that pole to safely slip into the bottom of that fan to hold in place. It is completely normal for the screws to be present and it is not permanent so it can be easily removed. There may also be the same screw inside of the base which serves the same purpose by holding the pole into the base.