Hello; I can't picture where the set screw comes in there, but the high temp copper, silicone sealer that loctite sells is what I would recommend. I have used Lostite's 660 but never on a sealing situation. It is designed to lock (for example) loose bushings to a shaft, and not to seal compression pressure in a high heat situation. If the oil is leaking from the set screw threads, a high heat thread locker will seal it.
I have seen many Irvine diesel heads leak oil from the set screw that locks the compression adjuster.