Depends on whether or not I think it will come loose in use. I have found that its possible for some of the pins not to go in properly if the two screws are not tightened equally.
If it's gonna stay there for a while then yeah. Only time I don't is at work where I have a second monitor attached to my laptop so I leave it unscrewed so I can take my laptop quicker if needed.
If I'm dealing with these connectors in the year 2020 I'm probably fiddling around with something. Most recently I've been trying to get my laptop to output 240p to my PVM via VGA. I didn't have a reason to screw it in, especially since it wasn't working.
VGA to HDMI for Monitor to General desktop/Rendering desktop PC
Display to HDMI for my Monitor to General laptop PC.
I always screw them in (VGAs at home) and same for VGA/DVI at work though I find the VGAs to be much more durable than DVIs in terms of locking them down without screwing them in.
Most of the time. Sometimes I would be hot swapping monitors when using the Dreamcast VGA cable and my pc. In some of those cases I might have gotten lazy.