LOCTITE® Green Threadlocker is recommended for locking preassembled fasteners, e.g. electrical connectors and set screws. The product is categorized as medium-to-high-strength for wicking. It is also available in a liquid form, cures in 24 hours and can be removed with heat and hand tools.
I think you should use "Green". It says green is recommended for "set screws" in the description from lOCTITE above. This is just my opinion. If the green doesn't work out you can always move up to the blue.