Almost every servo arm is driven by the teeth of the servo's output shaft. There are teeth inside the servo arm that match up. There is almost no stress on the screw that holds the arm to the servo's output shaft.

The vast majority of hold down screws thread into dissimilar output shafts. They have a metal screw into a nylon shaft. Those suckers really do not need anything more than enough tightening to make sure the teeth of the arm are completely in touch with the teeth of the shaft. There won't be any forces to amount to spit that work against that screw. At least work forcefully enough that the screw would even feel them. And there won't be any vibrations that the metal to nylon grip would feel significantly.

You don't need thread lock on a servo screw UNLESS the screw is metal and the tapped hole is metal or a very rigid material. Only screw/shaft combinations that have no natural grip between them (metal to metal for instance) are going to need thread lock.

Matter of fact, a metal screw into most nylon shafts don't even need more than a finger tightening.

Want to know how much stress is on those screws most times? A buddy flew one of his favorites for over a year before he noticed that the aileron servos were missing those screws. When he saw that at the field one day, he laughed and mentioned that he'd noticed those extra screws left over from when he'd finished the plane and had wondered what they were from. So he knew he'd flown without them from day one. Still, nobody would be advised to leave them out. They do prove to you that the arm is seated adequately. And you can't rely on the arm to shaft having enough natural grip. But you don't need to strong arm the tightening if they're the combinations that don't call for thread lock.