The filters seem to be a bit pricey ... well mostly because there are several to buy at once. I had no idea a machine like this would have so many filters. I lost tons of screws on my KLR650s but that thing vibrated like a thumper. The majesty seems relatively smooth and to top it off, I did check the screws a few thousand miles back. Sounds like some Lock Tight is in order.
You could take one of the air box screws to NAPA. They have a really wide supply of metric fasteners. Just ask them for one of a matching size. You may get one with a bolt head and it may be too long but you could just cut it to length with a hacksaw. I'm sure this would be cheaper and faster than ordering one from a dealer.
The Texas Yamaha Pasadena dealership that I go to keeps all the small fasteners in stock. The Majesty uses the same fasteners as the regular Yamaha bikes. Try checking with your local dealerships to see if they do the same. The ones I've needed were only 5-10 cents from the dealer.
The owners manual shows a good description of what needs to be changed and how to get to it. The motor air filters are easy to get to, but the final drive filter requires the bottom panel removal ... a little more work but doesnt look hard.