Blue Locktite could be applied, if the screw and the threaded bore in the stop collar were clean and dry with no oily film.
Later removal could be make easier by gentle application of heat from a heat gun, NOT A TORCH! The threads in both the screw and collar would need to be cleaned of any residual debris before re-application of the blue Loctite.
I think it is just as easy to go around the machine periodically with a small screwdriver and check the set screws and stepped pulley oil hole plug. I get a more intuitive felling of how the machine is behaving that way.