If the set-screw just backs out, but stays in the rotor button, then typically the rotor will no longer spin with the shaft, the car just quits running. No harm, no foul.
If the set-screw drops out, (or more likely thrown out by centrifugal force) then it can damage the rotor button and cap as it get tossed around. $60 of harm, no foul.
Use Blue Loctite, it's not as strong as the Red.
good luck
JM