Hi,
If your parts belong to a welded group in Dynamic Simulation, it means that your parts are symmetrical and rotational degree of freedom has been considered as useless.
in Dynamic Simulation, to extract your screw from the welded group, RMB on the part to display contextual menu and select Retain DOF. This command will enable the degree of freedom.
However, I believe that an mate constraint between the screw rod and the cylinder would be better instead of a insert constraint. In Dynamic Simulation, a translational degree of freedom is needed for a screw joint.
I attached an basic example.
Hope it helps,
Gerard