Yeah, the tiny screws holding the wires to the coil seem to always be a pain.

Over time they seem to become brittle b/c of the conditions, it helps a lot to make sure you have a screw driver or bit that fits perfectly into the screw head.

Also, most people say the rotor screw is a huge pain to remove b/c they use thread lock from the factory. Mine was fine but it had been removed previously. When tightening it back up I just press down real hard with a good #2 screw driver bit and get it nice and tight. No locker and mine's always still been tight when I've had to remove it.
If you do need to replace that screw though, try to use a diamagnetic material like zinc (yellow or white) or copper.