Let me say straight out that I have no knowledge of this particular setup. However, I have seen many similar arrangements where one, two or even three grub screws have been used to secure a sprocket or gear wheel on a shaft. The key transmits the drive and the grub screw(s) keep everything in place.
If there is a hole through the shaft in line with the grub screw holes then I suspect you should have a taper pin as mentioned earlier and the grub screw is a 'bodge' to replace it. More likely, I think, is that the whole thing was designed to have two grub screws holding the gear wheel in place. As you have found, one will do the job but I would fit another when you have time just to be sure.