There is no reason not to run set screws, I run 2 of them.
I would recommend calling your friendly local USLC dealer and getting a new coupler. When things like that come loose, they can distort, at best causing you a vibration, worst case putting the output shaft out of balance at 10,000 rpm and eventually grenading the transmission inside the engine. Been there, done that with a loose coupler. 4 weeks later, boom.
Spend the $80 or whatever they are.
Personally, I only run blue Loctite on anything
Just my opinion