Use a weak grade of loctite, if machine vibration is causing the screw to loosen off. Don't overdo the quantity of loctite, you just want to gum up the threads in a harmless way.
You could attempt to cut a washer to put beneath the shoulder of the screw, to make it fill the slot perfectly in the gib. A couple of thou play isn't going to make much difference.
Many machines have a push screw on the other end of the gib which makes a moderate degree of counter-thrusting screw action possible. Overtightening these two screws against one another can, however, force the gib into an unnaturally tight state against the dovetail.
First you get good, then you get fast. Then grouchiness sets in.
(Note: The opinions expressed in this post are my own and are not necessarily those of CNCzone and its management)