The grubscrew/setscrew ensures the chuck will stay securely mounted on the lathe spindle during forward and reverse turning applications; however, it's mainly necessary only if the lathe is in reverse since forward direction continually tightens the chuck.
Some do not use a setscrew, but it depends on what you are doing. If you have a very heavy piece mounted and you hit the stop button, the momentum could cause it to unscrew. If your lathe has electronic speed control, the solution would be to let it freewheel to a stop rather than the programmed ramp-down. Many only sand in reverse and use light pressure. Starting in reverse should be done by gradually increasing speed.