I know screw can come loose but I am not sure about the pain level of it. Do i think you should be ****** HELL YEAH!! You should have insisted that day that he order an xray for you just to make sure. I think your doctor was very negligent.
I had to go back today only to have a cast repair and mine insisted on taking off the whole cast and checking it all out. And when I complained two weeks ago he took xrays right then and there even tho it wasn't in the "right part" of my injury. SOme may think this is why healthcare is too expensive, but if I have pain I want it checked!!
Best of luck to you!! Next time be a little more forceful. It's your body, you have to deal with it and no one knows better than you when things don't feel right.