Allen screw and copper pipe?
You'd probably get more responses if we knew what kind of faucet you were installing.
About the only experience I have with tightening set screws onto copper pipes is when installing bathtub slip-on spouts. If at all possible, and you can foresee having to tighten a set screw onto that pipe, then use Type K copper pipe for the section the set screw will clamp onto. I'd be concerned that a set screw could very easily damage the thinner walled Type M copper piping. I don't think it would puncture the pipe, but I could see it crimping the pipe.
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