Personally, I use Loctite. Cleat screws will loosen over time, and can fall out. On Sidi shoes, at least, you can't crank the cleat screws down too tight because you can easily strip the screw holes in the plate in the shoe (which is not replaceable).
My only clipped-in fall happened because I was not aware of this. I (unknowingly) lost a cleat screw, went to unclip and my foot rotated but the cleat didn't. If you use grease, then get in the habit of checking cleat screws for tightness before setting out on a ride. Actually, this is a good habit regardless, even with Loctite the screws can loosen.