I have used Frogs on all my bikes for the last 7-8 yrs (4 pairs). Occasionally the elastomeric pad under the metal part is too thin for the space it is in
and does not push up the retractable part of the cleat that locks you in. Mostly, for me it has been the opposite, and I have to trim the elastomer a bit
to allow the retractable part to push down but I recall at least one install that needed a bit more elastomer (salvaged from an older cleat). Make sure
the retractable part is protruding when mounted on the shoe. I use Nashbar sandals about 5 months/yr and they are great, but they do have excellent
toe cover.

As to the set screw, never fiddled with it at all, but the loktite will not interfere with adjusting it, though it will not be as tite as it was before. I have
salvaged some from old cleats.

The cleat primary retention is the wear surface of the cleat, if part of this is broken off the cleat will self release more readily.