Treaded couplings should be, after all with a small amount of pipe compound you could have it be gas tight! And, for older buildings Rigid Galvanized was common water pipe for a long time.
I usually add a little Noalox to the threads anyway, for ease of installation, wrench tight a little further that way. But we are looking for "Rain-Tight", not "Water-Proof".
Reguardless, a set screw is neither.
