You don't want to leave the screw in the tire! Even if the tire is currently holding its inflation properly, this could suddenly change, due to the flexing of the tire and resulting increase in the size of the puncture. If this changes at high speed, the effect is not very different from a blow-out, and sudden loss of pressure is not something that you want to deal with on an SUV. This tire definitely needs to be repaired (if that is feasible) or it needs to be replaced.
I suggest that you go to a well-reputed tire dealer, and ask to have your tire repaired. You might even want to visit two tire dealers in order to see if the tire is repairable. While I can't see the placement of the puncture from here, it is very possible that the puncture is, in fact, too close to the sidewall in order to be safely repaired.
If the consensus is that the tire must be replaced, I strongly suggest that you not "cheap-out" on this issue, because--yes, a blow-out can be the result of tire damage or from repairing a tire that was not safely repairable. A blow-out on a car can be very difficult to overcome if it occurs at high speed--which is when most blow-outs occur. A blow-out on an SUV will likely be catastrophic, due to the much higher center of gravity of the vehicle.
So, verify the dealership's recommendation and, if necessary, replace that tire. Just be prepared for possible replacement of all 4 tires, simply because many AWD systems will not tolerate the presence of tires with different tread depths (which results in differing circumference among the tires), and very expensive damage to the transfer case will be the result. This type of damage would not be covered by warranty, because it would be considered to be owner negligence. You should read what your Owner's Manual has to say on this topic, because there will definitely be a statement in that booklet if your AWD system is one that is subject to problems from "mis-matched" tires.