Loctite is probably not required, but as insurance that recoil vibration won’t cause the screw to loosen, Loctite or a dab of fingernail polish might not be a bad idea.

The problem with the new Colt adjustable sight is it’s a tiny Allen screw, and like all small Allen screws, either the wrench or the screw tend to round off. If it’s the wrench all you need is a new one, but if it’s the screw, extraction can be difficult.

So, Loctite or fingernail polish might be a smart “belt and suspenders” method of avoiding potential problems.
If you use Loctite use a very small amount of either Blue or one of the less aggressive types to insure you can move the screw if needed.