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It snaps in, but there is no way I'd describe it as "tight'. It's similar to any minijack connector.
There is a reason why Sony engineers designed it with a screw in connector in the first place, after all.
I've several times pulled them out when they aren't screwed in. I know, because I tried while worrying about pulling them yanking while screwed in.
Not gonna fall out on it's own accord, but still. YMMV. I am using much bigger, heavier cables than you are probably going to use.
I'd be more worried about the annoyance of losing a channel than I would be damaging the cord.
It doesn't seem like you have much choice however, since this screw type isn't commercialy available I don't think.
I had been using without the screw-on mechanism since forever, and I never had any problem of it falling out. It really snap-in tightly.