sure there are reasons. if the set screw loosens a little, the hex could spin on the axle. the axle will spin when you try to tighten the wheel. the clam screw is not really load bearing, just to keep it from sliding off. the pin supports it.
BB benefits? well the losi's really land better than the AE's on my local 8th scale track. they make almost no noise as they land and they really soak up the bumps. I am hoping this is largely because of the BB shocks. And i am hoping I will gain this with the upgrade. They may do nothing at all. But i am hoping.