The major thing to remember is that as the person who does your own knitting, what works for me or for anyone else isn't necessarily going to work for you. As I often point out, lots of people love using plastic or resin needles, and I can't stand to knit on them. It all comes down to your personal preferences.
I love both sets. I have the KPs right now, but am waiting for my next trip to Europe to get the Addi set. I think a lot of it depends on what sizes you need. The KP set has more sizes currently available (at least the last time I checked), although I'm sure that will change eventually.
Addi has come out with the cables now, so you can have longer cables than were available...plus...they're Addi. Since I love Addi needles, i definitely want them. I suspect that if you love Addi already, you'll also prefer the Addi interchangeables, but I'm more than happy with my KP Nova set as well. I, like you, often find that they do unscrew eventually, but it just takes a quick tightening and no problems...knock on wood, as I haven't dropped any stitches yet due to this.
The HiyaHiya are definitely on my list as well, simply because they come in smaller size tips. When I have all three sets, I'll probably sell my KP Harmony set, because I've discovered that even on the slipperiest yarns, I simply prefer metal over wood.