Yes, removing material will reduce the strength of the magwell.
No, the magwell is not designed with a minimum safe design factor for its structural or dynamic load. Folks have been “skeletonizing” AR mag wells with no ill consequence for as long as there have been civilian AR’s. Throwing a few screw holes into the magwell won’t cause failure of your lower.
That said, threading into the thin wall of the magwell isn’t the best opportunity.
AND… magwell grip really isn’t the best technique. To each their own, but I would advise against modifying the firearm in an unfavorable means to enable an unfavorable technique.