I have the same problem with the same screw on my repro 16/20 set. I tightened it a couple of times & finally used some low strength Loctite to solve the issue.
Be sure if you use a thread locker to clean the screw & hole so it is grease/oil free. Then use very little Loctite, just a small drop off the head of a tooth pick is all that's needed on a screw like this. The biggest mistake people make with Loctite is they use too much of it & create a bigger problem than they are trying to solve.
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