The height adjust screw is probably made of a ferrous material and plated in either chrome or nickel. When the screw is in proximity to the magnetized pole piece in a pickup it can become magnetized and act like a pole piece. Using a metal pick can strike the screw and act as if your hitting the pole piece with another ferrous object. As the screw vibrates it disturbs the magnetic field in the coil, unwanted noises can occur. I would suggest not using a ferrous pick or pluck the string in a different proximity to avoid hitting the screws in the pickup. You could also try using a non-ferrous brass height adjust screw in the pickup to help reduce the unwanted noise if it’s accidently hit.