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It Has a Flat For a Reason
If you have more than one screw but only one flat surface on the shaft, only tighten the one set screw.
Refrain from over-tightening set screws; they need to bite into the shaft, but you don't need to mangle the poor thing. Setting it on the curve and over-tightening can make it hard or impossible to remove the blade or wheel later. I've seen this several times in high-wall ductless systems: an overtightened or improperly set wheel can make it impossible to remove later. A little grease on the shaft and a carefully tightened screw can make it a lot easier for the next time.
Simple, but important.