A grub set screw is slightly more versatile than a traditional bolt in this sense, due to its ability to be driven flush with surfaces or recessed and effectively hidden from view. The end result is a very unobtrusive fixing that can be tucked out of sight more easily than a traditional bolt with a locking nut.
Typical examples of uses for grub screws might include any situation where one object or component needs to clamp to another tightly via friction, but where protruding parts of the fastener would interfere with smooth functioning of the items in question. Grub screws for this purpose are especially widely used in architectural ironmongery, and are a very common feature found wherever door handles are attached to spindle shafts.
Another common usage scenario involving grub screws or set screws is when attaching a pulley hub to a shaft - in this case, the end-point of the set screw pushes firmly against the shaft, possibly with some degree of elastic or plastic deformation of the part(s) at the point of contact, to provide increased grip. The fastening action is therefore achieved through friction between grub screw and shaft.
Besides aesthetics, another advantage of using grub screws (with no leading or trailing edge exposed at the head end) is that they can often offer better resistance to weathering and corrosion as a result. They can also be driven with considerably more torque force than traditional screws, as the uniform diameter right the way along the full length of the grub screw shaft means that they don’t begin to split the hole apart as they go in further. Instead, the the surrounding material into which the set or grub screw is driven will work to reinforce the fastening as it goes in.
One potential downside of flush-set grub screws, however, is that they can be quite difficult to remove once driven with full force to sit flush with or countersunk into the surface of the workpiece, especially if they do become corroded or the drive slot is damaged due to excessive torque going in. In these sorts of scenarios, grub screws might often need to be drilled out for proper removal, which can be challenging in itself due to the high tensile strengths of materials generally used to manufacture grub and set screws.