My thought is that if you do have set screws that came loose, the first one that you tightened probably wasn’t tightened down perfectly perpendicular to the flat of the stepper motor shaft, or it just wasn’t tight tight. Since the set screws are so small they require what seems like an extreme amount of torque to get them to bite.
If you do decide to use Loctite, be sure that the first one you tighten is perfectly perpendicular to the flat of the shaft.