no don't sweat it. That's why I like to buy retail at Newegg sometime. When the parts are labeled "Retail" then you get everything included (screws, manual, software, pretty retail box, brackets if necessary). If it is OEM, it comes with nothing but the hardware itself. THe motherboard comes with everything you need to get your computer running, even a variety of screws to attach to your case or is it the case that comes with screws? Forgot. If the screws aren't enough, then you can get them at a computer store or online.
I have some cables and screw from leftover build so I can afford to buy OEM parts. "Retail" just makes it easier if you can fork over the extra cost.