I hope I can make this understandable because I'm not good at posting pics. If you could make the I.D. of the collar a "D" shape where the flat of the "D" matched the flat on the shaft, metal to metal fit that would be better than the set screws. The set screws and flat on the shaft are as close as is economical to produce. Keys are not meant to transfer large power but are the easiest way to establish the relationship between the shaft and collar so everything mates square and in a specific location. Those set screws are less affective if they are not at 90* to the shaft flat. If that key splits and spins long enough, it will weld the whole works together, friction welding is viable process in the right place.