Wolf, CX and Bry. The set screws are set correctly! Trust me They are in the holes and set deep enough. The Eflite upper hub is actually three pieces. You have the upper section with the blade lugs and set screws, then you have the lower section with the guide rods for the swash linkage and lower set screws.
Third section what third section?? Stump is on crack again!
If you look very closely at the upper piece of the hub it is actually two pieces. The rounded bottom section that has the blade lugs and this piece is compressed onto the upper section that has the set screw holes. What has happened with mine is the section with the blade lugs rotates on the section with the set screws.
When set properly on the outer shaft the upper set screws, the blade lugs and the lower set screws align one above each other with the guide legs for the swash linkage being at a 90 degree angle. Have a look at the second picture above again. You will see that the upper and lower set screws are still aligned correctly however the blade lugs are at roughly a 30 degree angle.
This is the second hub I have had separate at the same location. Unfortunately I threw out the first one. I should have kept it and taken pictures of it. When I replace this one I will shoot some pics and post them to further illustrate what is happening.
I'm still wondering if this is manufactured this way or did I get two bad hubs.

Found a picture, here is a side preview of the eflite lower hub. Note how the blade lugs and set screws align, now look at the second picture. See how the blade lugs have twisted off line with the set screw. And you guys thought I was on crack