I haven't flown electric CL, but I have not had a problem with either type in RC flying. My prejudice would be collet, because it's pretty much impossible to exactly center a set-screw type.
A collet may gall, but an aluminum collet on a hard steel shaft isn't likely to do the shaft much damage if any, and it's only going to spin and gall if you don't tighten it and keep it tight -- since improperly installing a set-screw prop drive is going to do the same thing, my inclination is to use a collet correctly.