Post picture of screw you have, especially close-up of conical tip. Let's see if it's been swapped for incorrect one. As you can see, bleeder screws vary greatly in shape, it's possible someone installed incorrect one on your brakes and that's why it's leaking. Note none of them uses O-ring to seal.
What you saw as "O-ring" is probably remnants of loop holding sealing rubber cap on outside. If you look closely at "O-ring", it has square cross-section, not round?
