If you're concerned about it, you don't need to tighten the allen screw.
But keep in mind you're not going to be able to put much tension on that allen screw anyway, it doesn't thread into the steering shaft. It just keeps the bearing from sliding under normal conditions.
Also, the bearing just sits in the outer column jacket. Its pressed in enough that it won't fall out, but in a crash it wouldn't stay put either. For that matter, the column jacket itself is designed to collapse as well, so even if the allen screw held tight (it won't) and the bearing didn't slide in the housing (it will), the housing itself would collapse. And once that happened, the steering shaft would collapse with it.
Getting impaled by the steering column is probably the absolute least of your worries in a crash with one of these cars.