It says you must attach a neutral wire to the switch in order for the pilot light to work, but in all the pictures, they do not show a neutral screw

Hello the Eaton Wiring Device 30amp Pilot light switch does have to have the Neutral wire connected to the silver terminal to work properly. Your incoming hot(black wire) goes to the brass terminal, The incoming neutral(white wire) along with the white wire tied together go to the silver terminal screw. If you have any additional questions, please contact us at Techsupport@eaton.com. Thank you!