What actually asking, and I think that I can derive the answer from the photo, is whether you can screw the 5/8" thread all the way into the mic mount, and then adjust the angle by loosening the set screw and turning the 5/8" thread.
Yes, that's correct. For example, in the first pic Patrick posted, one may loosen the set screw and then freely rotate the mics 360º, e.g. so they're pointing towards the desk, or to the left, or right, or anyone in between, etc.
Also, is that other nut a set screw like on the Shure bar?
Not sure what you mean by "other nut". On these clamps, there's the mounting stud/thread, and the set screw that secures the mic mounting stud in the body of the clamp. That's it. The Shure A27M has what I would call jam-nuts. They allow one to orient the mic to the thread at the desired depth and angle. No reason one couldn't use a jam-nut on the Windtech clamp, but it's not really necessary since the stud will rotate freely within the slot once the set screw's loosened.
FWIW, if you're looking for microphone jam nuts in general, I like these:
http://www.latchlakemusic.com/jam_nuts.html