The STL with both parts has the screw oriented the wrong way, so the covered end is at the top and requires a bridge, and the open end is at the bottom so provides a small surface area and risks coming off the build plate. It would better to flip the screw in the provided two-part STL so the sealed part of the screw is at the bottom. Could you please do this to make printing easier for other people?
The download includes AMF files. AMF is a replacement file format for STL but it hasn't really caught on, neither S3D 3.1.1 or Cura 2.6.1 support AMF. Slic3er 1.2.9 does appear to support AMF but actually just converts the file back to STL.
For anyone wanting to convert these AMF files to STL:
Now you have the cap and thread in separate STL files and can orient them however you like.