Any screw will loosen in time. With a watch buckle the vibration from wearing the strap and lateral movement of the leather strap against the buckle means there are a lot of forces acting against the bar, so a screw bar buckle needs to be checked often, and tightened when necessary.
If checking and tightening the screw bar is too much trouble you can use a thread locker – this is a specific adhesive which locks the thread of the screw to prevent it loosening (without locking it permanently). The one I recommend is Loctite 243. Threadlockers come in a variety of strengths but Loctite 243 is medium strength – designed to form a bond that is strong enough to inhibit the loosening of a metal screw but weak enough to allow the screw to be undone using a screwdriver).