No problems here....
I have both the "regular" sized Jordan Hollowing set, and the "mini" set, and I have never (over about 3 years use) had a problem with the bit holding screws coming loose.
I'm in full agreement with Kurt Whitley - I also use John Jordan's bit-sharpening jig, and to remove, sharpen, and replace a dull bit takes not much more than 5 minutes. (No torch needed...) This was one of my considerations when thinking about buying a hollowing set using a screw-held bit vs. a glued-in bit. I have since bought a few extra bits (straight and for the curved tools) that I keep in a 'sharp reserve' set, so I can do a swap-out a dull bit quickly, and get back to hollowing. I then sharpen all three 'spare' bits at the same time when I get the jig out.
I've not used the Bosch set, but can tell you that I am very happy with the John Jordan hollowing set. I have also added a Sorby curved neck hollowing scraper and a slicer tool to the set for added versatility.
CAVEAT:
I use a Sorby armbrace handle instead of Jordan's handle. I just didn't like the design and feel of Jordan's handle, and those thin metal arm 'supports' look unsafe to me - I just don't like this design, and in my estimation, I consider it somewhat unsafe. Think about getting a bad catch and having one of those thin metal pieces whack you in the arm or worse, the chest....!) I think Mike Jacofsky also uses an armbrace handle that enables a "pistol" type grip (I don't know if he uses a Sorby or Stewart), and he emphasizes that hand and finger position while holding the handle is very important while hollowing, both for control and for fatigue. I didn't think Jordan's 'simple angle' design felt very good to me at all. The Sorby and Stewart handles will hold the Jordan, Bosch, and other 3/4" tool shanks.
If you get a chance, try a few different handle and tool systems (even if only to just hold them) and see what feels best to you This is one of the many benefits of attending a turning meeting that has a large number of tool vendors present.
Good luck and turn safely!
Rob