We always recommend #9 structural screws for screw on holds.
Set screws for bolt on holds are less important and a normal #8 or #9 wood screw will work just fine.
The reason we recommend structural screws is simple - they are made of heat treated steel and are much stronger than a regular wood screw.
A #9 structural screw has a shear force of about 400 lbs per screw. This may sound excessive, but most manufacturers of anything designed to hold weight have a t least a 3:1 safety ratio. That means something advertised as holding 200 lbs should be tested to fail at 600 lbs. So a single structural screw is really only good for about 133 lbs.
Also, remember that dynamic movements will increase the force and therefore weight put on the hold. If you dyno to a hold, you increase the force on the hold by a lot.
For this reason, you should use a minimum of 2 structural screws per hold, 3 is preferred for larger holds.
All of our holds are designed with these things in mind.
It's very important to ensure that a good amount of the screw thread is actually in the wall. If you use screws that are too long, you'll have little or no thread actually in the wall, making the screw essentially useless.
The best way to do this is to put the screws through the holes first and hold your climbing hold against the wall on an edge where you can see how much threading will be in the wall. If you can't do this you can also just measure the part of the screw that sticks out. Some examples are below (note that the "swirly" part at the top of some structural screws is NOT threading).