It's been a couple of years since I had this same problem with the set screw bending, so this is from memory. At the time I came to the conclusion that the reason for this bending was that the shear load on the pellet probe and probe block was transmitted through this part of the set screw that bends (made worse if the set screw works lose). The problem is that at his point the set screw is the weakest as the hole for the hexagonal Allen key for tightening the set screw estends past this bend point.
What I did was use a longer set screw which meant the solid part of the set screw now extended past this shear point which gave the set screw max strength.
HOWEVER, this meant the set screw extended past the outside of the probe block and because of the very close clearance between the probe block and side plate of the gun the set screw head would hit the side plate of the gun when loading a pellet.
I just ground the section of the set screw down where the Allen key is inserted. This reduced the depth the allen key could penertrate the set screw for tightening, but there was stll sufficient to securely snug the set screw down.
I also put a tad of loctite (blue) on the set screw as a precaution against it working lose.
Ross