Tämä pieni ruuvi kuuluu lokasuojaan.

Here kuuluu means belongs, is part of, or goes with.

So Tämä pieni ruuvi kuuluu lokasuojaan means that this screw is the correct one for the mudguard/fender, or that it is part of it.

It is the 3rd person singular present form of kuulua.

Yes. Kuulua can also mean to be heard.

So this verb has more than one common meaning:

• Musiikki kuuluu hyvin. = The music can be heard well.
• Tämä ruuvi kuuluu lokasuojaan. = This screw belongs to the mudguard/fender.

The context tells you which meaning is intended.

Because lokasuojaan is in the illative case, which often answers the question into what? or, more idiomatically here, to what / as part of what?

The basic form is lokasuoja.
The illative singular is lokasuojaan.

With kuulua in the sense of belong to / be part of, Finnish often uses johonkin-type structure, so the noun goes into the illative:

• kuulua lokasuojaan
• kuulua ryhmään
• kuulua perheeseen

Literally, the illative often has the idea of into. But in this sentence it is not mainly about physical movement.

Here it is more idiomatic: belong in/to the mudguard, be part of the mudguard, or go with the mudguard.

So the case is doing more than just expressing movement.

Because Finnish makes a useful distinction:

• kuulua jollekin = to belong to someone, usually in the sense of ownership
  
  • Tämä kirja kuuluu minulle. = This book belongs to me.
• kuulua johonkin = to belong to something, be part of something, fit into a group or whole
  
  • Tämä ruuvi kuuluu lokasuojaan. = This screw belongs to the mudguard.

So lokasuojaan is the natural form here because the screw is part of the mudguard, not its owner.

They are all in the nominative singular.

Together they form the subject:

• tämä = this
• pieni = small
• ruuvi = screw

So the subject is tämä pieni ruuvi = this small screw.

Because adjectives usually agree with the noun they describe in number and case.

Here ruuvi is singular nominative, so pieni is also singular nominative:

• pieni ruuvi = a small screw
• pienessä ruuvissa = in a small screw
• pieneen ruuviin = into a small screw

In this sentence, the basic nominative form is enough.

Finnish does not have articles like English a and the.

So ruuvi can mean a screw or the screw, depending on context.

Here tämä already makes it specific:

• tämä pieni ruuvi = this small screw

So no article is needed.

Yes. It is a compound noun, and Finnish very often writes compounds as one word.

lokasuoja is made from:

• loka = mud
• suoja = protection, shield, cover

So the literal idea is something like mud-protector, which matches mudguard or fender.

No. In this sentence, lokasuojaan is not a direct object.

The subject is tämä pieni ruuvi.
The verb is kuuluu.
lokasuojaan is a case-marked complement required by the verb in this meaning.

That is why Finnish does not treat it like a normal object.

Yes, Finnish word order is fairly flexible because the case endings show the grammatical roles.

The neutral order here is:

• Tämä pieni ruuvi kuuluu lokasuojaan.

But other orders are possible for emphasis, for example:

• Lokasuojaan tämä pieni ruuvi kuuluu.

That version puts more focus on lokasuojaan.

Still, the original sentence is the most neutral and natural basic order.