FWIW, the oil plug screw in the second to smallest diameter cone pulley groove, when new, could be snugged down to hold it in place over time. But a distressing number of all Atlas-built lathes are found with that hole tapped through to the ID. As the warning in Sticky I think says, anyone acquiring a new-to-them lathe should check this before starting the lathe the first time. To do it, starting with the set screw snug, measure the distance from the bottom of the pulley groove to the top of the screw. Be sure that you don't measure the distance to the bottom of the hole in the set screw if it is the Allen type. Then remove the set screw from the pulley and measure the hole depth down to the spindle and the screw length..
Sum the screw length and the first measurement (distance down to the top of the screw). If it is approximately the same as the distance from the bottom of the groove to the spindle, you have the problem. And as I think that I wrote several years ago, the only solution is to buy a bunch of nylon-patch set screws. The reason for buying several is that you won't get away with using them more than a few times.
Another consequence of the mistake is that if you need to pull the spindle, if locking the set screw to the spindle left marks, you will probably damage the right cone pulley bushing and maybe the bore of the bull gear, although you may get a chance to file the marks off after the marks clear the pulley bushing.