That's where a small screw goes to hold the rotor in place during assembly. It is not needed at all beyond the assembly process. You can usually screw on a couple of lug nuts far enough to hold the rotor in place during assembly, or just hold it with one hand while getting on the caliper. Once the wheel is torqued on, it holds the rotor firmly in place, not that tiny little screw.
It is actually better to leave that screw out, because it very often rusts into place and is very hard to remove when it does. If your rotor is rusted stuck, chances are that screw is rusted stuck, so if you want use
@Ostrichsak suggestion, it's better to leave that screw out since it doesn't help anything after assembly. You can see stuck screws in many of the professional auto mechanic youtube videos, especially for cars in the rust belt.