Is it really a stl file or do you mean step? stl is a surface mesh file which is not really a good file format for editing in tools similar to freecad. Tools like blender are better equipped to deal with such files. stl is similar to wrl in this regard so this faq article might interest you: What is the difference between step and wrl 3d models?
I wouldn’t say FreeCAD is easy to use or learn. By experimenting I found out that you can get what you want with StepUp’s “Make a union” tool. The elements which are visible in the view are colored in the object tree: Cut and three parts of the screw. Select those objects in the tree (keep Ctrl pressed and click on each of them). Then use “Make a union”. You will get a new object. That can be selected and then exported (use StepUp for exporting if you use it in KiCad).