I do to (prefer a solder connection) but I pursue this because I care.

We are talking about the little set-screw jobbies as in the first image? Not the "L" terminal clamps that you can install with the "L" end facing up through the servo arm and cut long so that even if the connector pops off you still have a chance of survival (especially as the end over the "L" leg is still a tight friction fit).