You could try cleaning the hole out really well with DA, dry it, fill it with JB weld, then put the screw in and let it cure. Should still be able to remove the screw and it may give you more bite.
No, I mean on the collar itself where the set screw goes. That hole may be sharp edged and could hang up on the trans case causing your brakes to bind.
If the linkage collar fits the hole nicely, then it should work fine. I think I'd hit the hole where the screw goes with a sanding drum on a dremel to take any sharp edges off it so it doesn't hang up in the hole it fits in.