Yes that hole is where the roller stud is pressed into the cocking rod.
On my XL the plastic roller can't fall off like it would with a Gamo cocking arm roller. The outer end of the stud's axle is larger than the roller ID to retain the roller on the axle. A nice feature when re-assmembly the gun.
The end of stud that fits into the cocking arm appears to be a splined joint. Try supporting the cocking arm on a solid surface such as a steel bar and tap the outer end of the stud into place using a pointed punch, nail set, large nail, anything that will fit into the dimple in the end of the stud axle, but do not hit the end of the axle directly, or you could flair it more and bind, or break the plastic roller.
Or, just send that gun back too.
Paul.