Set screw fitting have an advantage in that they have a snaller outside diameter. This is advantageous when drilling through 6" thick concrete walls. Once firmly tightened, the screws can be cut off and the area filed smooth. [Now I am going to run, duck and cover.]
Note: I have seen compression connections pulled apart but never screw couplings. But then I haven't seen too many old work situations with screw connections.
~Peter
