You mean the assy numbered 66479? The pin should have a flat spot where the set screw contacts it. That is just the same as the old lsp. Good threadlock and a good hex driver should help you get it tight. The heatshrink is not a bad idea, as it should contain the pin if it starts to fall out.
i have an old lsp-r pro converted that i havn't used it much yet. however i put some FG differential grease/oil in the center diff (FG part number 6512). this grease is very very thick. i had the impression that it worked out quite good. just as another possibility you may think of.