no they dont, for a few reasons:
1) connecting them together normally is a tight fit...if you pulled on the cable, it would come out from the usb port 20 times easier than the serial port connection would disconnect
2) the screws on the connector, if they were put in, arent thumb screws, youd have to get a mini flathead to screw it
3) and most importantly, the male connector on the usb/serial doesnt have any socket for the screws to go into (theres a hole, but it doesnt grip!)...which makes it rather pointless
just push them together tightly and theres no way its coming apart unless u want it to.
on a side issue, the consult cable doesnt have a strain relief in the connector (the usb/serial does), so to disconnect it you should always use the connector, not yanking the cable