Whilst I have never had the locking nut come loose, I have found the need to tighten it slightly to take out a little wear after a couple of years. The locking nut/washer works because it has a horizontal slot cut in it about 50% of the way through the section. The grub screw simply squeezes the two halves together, locking up on the threads of the rudder shaft. The phillips grub screw is difficult to get tight enough, but if you get a large phillips screwdriver with a square shaft which takes a small spanner, it helps. Push down hard whilst tightening with the spanner.
Alternatively, you can do what I have done and replace the grub screw with a M6 bolt. It’s not ideal because the hole is countersunk, but it goes down tight and the locking nut doesn’t move.