In my first R8 machine the screw was broken off when I got the machine. I used it that way for a long time. My second R8 machine, same brand and type, has an intact screw. So I have used both ideas on the same basic machine. In reality, both have benefits and problems. I am equally happy with using them either way. It is certainly not worth it for me to take the spindle apart to fix or remove one of those pins. In my opinion, decide for yourself. The only thing I would never accept is a spindle with a screw that has the tip broken off and that still sticks out into the collet space, even a tiny bit. That will cause gouging of collets and wedging of collets out of proper alignment, causing inaccuracy and damage to tooling. Regardless, your choice is reversible either way if it turns out you don't like it. The important thing is to be conscientious about cleaning and getting the oil and crud off the tooling and spindle, tightening them properly every time, and trying really hard to never crash your machine and spin the R8 tooling in the spindle. R8 is not that secure of a mounting system. Don't push your luck. No good (and much bad) can come of it...
I used to fly an aerobatic single seat aircraft that had a placard on the panel that stated: "Don't try anything stupid." We should post that on our machinery as well...
