I've had VGA come out by accident when its not screwed in, mostly when cable routing and I give it a little tug to try and get it up to the monitor. I think the main reason for the screws is that VGA isn't intended to be hotswappable so by screwing it in you were ensuring it wouldn't actually pop out while in use and preventing a potential cause damage to components. While HDMI is hotswappable and is designed with specific tolerances to make it fit well enough that it won't fall out by accident when routing and if it did, it won't cause damage to components anyway so its probably better to just let it pull out if it gets tugged on than to have it dragging the system or monitor around.