Wheel bolts and the wheel are what really holds rotor hat tight against hub.
Set screw basically keeps rotor/hat in place / aligned when they are not present. Thus why when replacing hand tight is the torque spec.
Textar pads are fine.
Might try running tap thru carrier first to clean up threads instead of immediately jumping to helicoil. Especially since you were able to extract caliper bolt w/ just some heat and penetrating oil. Threads actually look decent all things considered... Tap could be right fix and obviously save you a ton of time.
Good luck
