I have two of them, one on a .270 bolt action and the other on a .30-06 Ruger #1. The aperture definitely stays put. The thing I've found that may loosen a screw in aperture like that is the back and forth vibration of a semi-auto, but working the bolt of a lever and the recoil of a .35 isn't going to loosen it.

Couple of things to mention. Those windage set screws are pretty small so be sure to use a good fitting screwdriver and don't try to tighten them down farmer tight. Snug is all you need. More than that and a) you risk stripping that small slot in the screw and b) if you really really crank down there is some chance of dinging the aperture shank threads and that makes it very hard to turn up and down. I did that on an NECG ghost ring sight once and learned that lesson.

Gunnery, gunnery, gunnery.
Hit the target, all else is twaddle!