The correct screw is the screw above the front greeblie. It is either a cap screw like in my picture or a button head screw and the wrench US ships does not fit either one. The wrench is only for the more common set screws used in most of the other sabers. The cap screw needs a 9/64 hex wrench and the button head needs a 3/32, while the standard set screws use the 5/64 wrench they ship.
To change the batteries just unscrew the pommel, base cap, and shake out the battery holder.
The cap screw is blade retention point:

Unscrew the pommel:

Shake out the battery holder:
