Join Date: May 2005
Location: La La Land (We love it!)
Bikes: Gilmour road, Curtlo road; both steel (of course)
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1. Either should be OK, although you don't want them too hard to remove; they are pretty small and easy to mangle. FWIW I have serviced many derailleur pulleys and have re-installed them without any thread-locking compound (except for what was already there) and have never had one loosen up. I think Shimano is just being careful.
2. I actually prefer light grease here; it stays put better than chain lubes.
Chain lubes are intended to penetrate so they are "thinner" than regular oils; this is OK for chains because they are re-applied fairly often, but you don't want to have to re-lube your pulleys every few weeks. The rubber seals are intended to keep dirt out, not lube in.
Today, I believe my jurisdiction ends here...