It's pretty unusual for a setscrew to loosen up unless there is some other relative movement causing it to do so. I'd be looking very closely for some underlying cause.
If you are sure it's "just" the setscrew loosening up that's the problem, then purple Loctite 222 "Screwlock" would be my choice. It's the lowest-strength threadlocker and is intended for use on screws.
The Blue "Nutlock" products are stronger and intended for use on nuts. It is all to easy to chew up the slot or inhex on a setscrew if too strong a threadlock is used and you need to get it apart again.
If there's any possibility of there being relative movement between the disk and the shaft that is causing the setscrew to back out, I'd be looking to take off and remount the disk using one of the Loctite retaining product range. There are a number of different products available with different strengths and gap-filling capabilities. As a rule, it's best to pick the lowest-strength product that will do the job. Using a higher strength product than is needed just makes disassembly more difficult when you need to take things apart. This is especially true of things like disks where there is not much chance of getting a normal puller on and where applying enough heat to weaken the Loctite is likely to cook up the motor shaft seals.
