If you get an Elite hilt in a warrior, champion, or Hero tier, all the hilt parts except the pommel will be glued together (they don't want the hilt to come apart on you when you're using it). If you'd like to be able to take the hilt apart you'll have to get an initiate tier and request the threads to be unglued, build a hilt using ASP parts (which don't come glued), or take a heat gun/hair dryer and loosen the adhesive on the parts (and this void your warranty).
However, since there is more room to work with in the Elite designs (with exception to the thin necks which don't offer it), swapping LEDs out will be much easier. That being said, just because they're called "quick connects" doesn't mean you should be rushing when swapping the LEDs out. Go to fast or use too much force and you'll end up snapping a wire. Cram-Fu is a delicate art after all.
As for alternate set screws, the ones SF uses have an 8-32 thread pitch, so anything with that same size will work, but something like a thumbscrew with a grippable head will work best and not require a tool. Your local hardware store or The Custom Saber Shop's website has plenty to choose from.
Though with my saber I used a gold TCSS thumbscrew for blade retention but decided to keep the set screw for the LED, since the spin point is right in the same area and when I'd spin the hilt my hand would end up unscrewing it.