I've on occasion cleaned the old grub screw with a tissue to remove any gunk, and reused it, not bothering with Loctite. Never lost one on my rough lanes, don't expect to. Note that in the oil changing process you are in any event required to reuse the old screw without Loctite for at least a short ride. If it doesn't fall out then, I reckon that on the same sort of roads it is unlikely to fall out. In any event, even if the screw falls out and the gearbox drains, it won't do any damage before you notice and refill the box and fit a new screw, because enough oil sticks to the gears to keep marching on for possibly up to 3000m/5000km. Be careful not to overtighten the grub screw: that torque rating is just finger-tight (spin the shaft of the hex key between your fingers without actually gripping it) and then lightest touch of the hex key held by the short angled handle.
Of course, a long distance tourer should carry a spare grub screw already Loctited (as it comes from the factory in the refill kit) in his spares.
