envonge,
Take the screw out, put a drop of Lock-tite on the threads and then re-install the screw to prevent it from loosening again.
Now for the "possible cross-threaded" compensator. The only way for a threaded part of your revolver to come off without unscrewing it is for it to be pulled off or blown off. If one of those two things happened the threads in the barrel would have been damaged. I'm guessing they are damaged because when you tried to install the extra compensator it got stuck.
To aid in removing the stuck compensator get some dry ice if possible. Stick the compensator in the dry ice making sure not to freeze the barrel, just the compensator. By freezing the compensator you will shrink it slightly and hopefully allow you to un-thread it. I would normally heat everything and then dip the tip of the compensator into clod water to shrink it but heating those parts will probably destroy any tempering that was done at the factory so it's a bad ides in this case. Then you will have to run the proper size tap into the barrel to clean up the threads. It may also be necessary to chase the threads on the compensator with a die.
All this being said.... Damage to the compensator and barrel threads because it “just came off” is probably something that’s covered by S&W so I would contact them before I did anything I mentioned above, except for the Lock-tite of course.