Those square-headed screws are hardened set-screws, and are capable of doing a better job than the captive cotter except in one respect: the cotter does not mark the shaft much, so you can adjust the clutch's position on the shaft over and over again. With the set screws, the one opposite the key, that bites into the crankshaft itself, means you have to file the burrs off the crankshaft each time you remove it, and you should try hard to put it back in exactly the same place each time or your crankshaft will gradually get eaten away, and then the coupling's position can drift around.
Drilling a hole to suit a captive cotter is not easy: it has to have exactly the right offset from the center of the shaft and coupling. I suggest you stick to the way S&B made it, with the set screws. At least you can be sure it won't creep along the shaft: once that set screw bites into the crankshaft, the coupling isn't going anywhere.
