The attachment says that there are two setscrews provided with each accessory, but I've never seen an adapter that included setscrews. Maybe at one time they might have included the setscrews, but unless they are tightened down it would be a very bad idea to leave them loose in the adapter.
Where does it say that Bill (included setscrews) can you maybe show where ?) I have bought half a dozen Oneway chucks, the first one pretty well right after they started making/selling their chucks and sequently others over the years as I got some smaller lathes.
The only screws I have ever seen where the ones to fasten the adapter into the chuck, never set screws.
Yes if you have the setscrews, fasten them down well, something like how you should set the parking brake, where softly set people than drive with the brake on, and here loosen the chuck with the screws damaging the spindle because they forget they have the screws down some, where if good and tight they will (should) realize whats going on and not do any damage plus it will also do the job to keep the chuck from unwinding.