In cases where I have tightened weight bolts for people, they have never had a problem again with it coming loose.
I had a guy come over to me at the hall last night who just bought a new cue. Players brand. It was rattling. I popped the bumper off, found an Allen wrench and tightened it. The bolt itself wasn't even close to being seated, so I would think it came that way.
If you are just adjusting weight and you don't know for sure as to whether you will stick to that weight, I wouldn't glue it in. It will cause you a head ache later if you want to remove it.
Just turn it in snuggly and it will be ok.