A couple of things I can think of right off:
* is the bottom of the set screw flat or pointed?
* does the screw feel sloppy in the hole, or solid?
* did you use any thread locking compound on the set screw when you installed it?
* does the handle ever feel solid or does it rock on the shaft?
I, when you first install it, it is tight, then loosens over a few days, then thread locking compound (LocTite blue has worked for me, the red can seal it so tight you can't get it out once it cures) might keep the setscrew tight. If the setscrew doesn't have a point on the end and the shaft is round without a flat milled on it, then I'd buy one with a point. Sounds like bad design to me...
I recently replaced some door handles,and they came with two set screws...one to hold it together during shipping, and a second one, supplied with thread locking compound, for when you installed it. A real professional package - I was impressed, anyways. (Baldwin, in oiled bronze finish, if you were interested).