I'm wondering if the black oxide is the problem even with clean threads. Normally Crazy glue or red loctite should do the job. The black oxide might be acting as a release agent. When you separated the glued parts did the threads come out clean?
I have made thumb screws as the op using black oxide set screws and red Loctite with no issues. I clean with acetone. If you don't get all the tepping fluid out, it won't stick. Also let setup 24 hrs.
I also use the red Loctite, and agree it can take 2-3 days to set. I sometimes accelerate it by putting it in a warm oven (~200F). Parts need to be clean and free of contamination, there are certain types that fill voids better. Never had it fail, recently made an aluminum micrometer lathe stop with a steel thread bushing, which I secured in place with the red Loctite. They do have some high temperature variants, but I have used heat in the past to separate parts secured with standard red Loctite.
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