agree with stefmeister.
I too had a bearing come loose, and it royally fudged up my work. But i realized the fault was mine, in that i failed to check for free running of the bearing first. The screw clamps down on the inner race of the bearing with the outer race intended to run freely. If the bearing is not maintained, crud build, rust etc up can cause increased friction between the bearing balls and the races.
So depending on which way you run the router, i think the increased internal friction could act to unwind that screw over time, not to mention vibrations from dull bits causing the same.
Threadlocker should prevent the loosening due to vibration, but that's part of maintenance of the bit and its bearings, to ensure the presence and condition of the threadlocker.