I have the hex TJ's on my SIGs and a couple of other guns. I've never had any of them loosen up but I also always use LocTite Blue to install them. Loosening is not really a factor of slotted v. hex head design anyway.
I like the looks of hex heads. You don't have to index them and there's no chance of the tool slipping and damaging the grip. Also, like chuckles, I think the slotted SIG screws are unusually easy to "booger-up." Especially if you use the wrong size screwdriver on them. Since the TJ's come with the appropriate Allen wrench, and I've put them on several guns, I've always got a few wrenches laying around somewhere. I think there's at least one in every range box/bag I own so I could tighten any screws that did loosen up.
Mine came from Brownell's.
Tom