U-joint on steering shaft: float or bolt down?

Right, but we're talking about a U-joint, the splined end coming off the steering box splines if you don't use the set screw. My point is, on my system at least, there is only at most 2mm of movement on that axis, and nearly an inch of spline contact, so no way it'll slip off if you let it slide on the splines, like a driveshaft yolk on a tranny output shaft.