I have been using my Kreg Jr. and it is amazing how strong the joints are but I have had trouble with the collar on the drill slipping. Too bad you didn't put a flat on the drill to give some more purchase for the set screw. Do you have any other ideas for me to try?
I have never had a problem with the collar moving. Are you sure you are getting it tight? I tighten the set screw about as tight as I can get it with the supplied allen wrench and I stop pushing on the drill the instant that the stop collar makes contact with the jig. If the set screw is not holding, I cannot see that a flat on the bit would help much as far as preventing the collar from moving along the length of the bit. It could be that I've just been lucky I guess, as I'm fairly certain that I have drilled enough pocket holes for this problem to have surfaced. I have three separate bit/collar combos that I use regularly, so I do not set the depth often, I normally just grab the bit that is already preset for the depth that I want. I'm not suggesting that you get more bits, only that this may be the reason mine holds it's setting (no wear and tear on the set screw).