I have two 85 GSL-SE throttle bodies/intakes with different idle set screws and one of them does not turn at all. Any Idea why these would be different?

 

The 1st pictures is 'ghetto-rific', the second one is factory. These aren't 'idle adjustment' screws, but a minimum throttle position which prevents the butterflies from closing entirely. In effect, you can adjust idle using them to bump the idle up, which is probably why picture #1 includes a common head screw size for easy roadside adjustment.

The 2nd picture is how Mazda shipped the car, with an idle set at the factory along with a set screw to try and keep people from messing with it.

The FSM tries to get you to use the air bleed valve to adjust idle (that screw on the top of the throttle body where the flexible pipe enters), but I think we all know by now that screw won't change a damn thing except your attitude.