The set-screws typically work fine, as long as you have at least a dimple in the under surface and use Locktite to make sure the set screw never comes out until you want it to.
I would think that a through-hole could weaken certain types of parts. There are also tapered set studs from the aircraft world that can work if a set-screw doesn't seem enough.
But those usually go all the way through too I think. There was a discussion here a few years ago about that. Might be able to find it if someone doesn't have a link saved.
Regarding weakening parts, I'd prefer not to if I didn't have to, but it seems to me that a shaft that's fully captured 360 degrees by the yoke, would have a hard time letting that weakened condition manifest itself.
I don't know that for a fact. Just seems like it's safe when it's within it's confines.
If it's a wide split yoke, there might be some lack of support, but even then I'm not sure how much it is.
But here's the real bottom line as far as most Bronco steering boxes are concerned:
Number one rule... NEVER drill the input shaft all the way through!;D
Has less to do with weakening the shaft however, as it does messing up and buggering the critical torsion bar that's inside the shaft.
To my way of thinking, that pretty much eliminates any concern about weakness, since you would not be drilling.
Now, on the upper shaft... That's a different story and I think you can drill it if you feel like it.
But again, I'm not sure we've ever discussed the set-screw not being enough if it was thread-locked, and the locking/jam nut was thread locked as well.
Maybe there have been cases cited here in the forum and I'm just not remembering them?
Wait for others to throw their comments in the ring to see what the rule is.
Paul