I have a Yuuksta, and it is a great yoyo, but whenever i get a snag and unscrew it, the actual screw comes off and i have to screw it back in. Also, i think this may be the reason why it sometimes unscrews in play. Solutions?
Teflon Thread Tape, or if you can get your hands on it, some Threadlock. Just remember that if you want to ever pull out the axle it is going to be hard to do so. Hope this helps 
Well sometimes they just tend to unscrew like that. There’s nothing wrong, just screw it back in more than before, and if not I would just ignore it. It’s not effecting play or making it weird, so it should be fine.
Same happened to me and all I did was put some Threadlock on one side and now it hasn’t come out yet.
I think it’s just to leave it alone IMO.