I've seen thread lock on escapements here and there. Many older Compur Rapids and earlier Synchro Compurs have a red thread lock on the escapement screws. This is NOT the same as today's Loctite red. This release with 'medium' twisting, no heat needed. I haven't run into this much on Copals but that could just be luck. A couple of Mmaiya TLR lenses had a white compound but it didn't take a lot to get it to release.
Early Nikon SLR lenses are famous for thread lock on the rear, holding the mounting flange. Dirty white color as I remember.
I assume the Compur red is factory as I run into again and again. Not certain on your Copal if it is factory or added later. I know a recent Rolleiflex I had that had thread lock on side panels and such was not factory.
Along with MEK, acetone, and heat, a screwdriver with a secure fit is important. No slop in the slot. Many screwdrivers have a square or hex handle; you can use an adjustable wrench to get leverage but be certain to have a stable setup and apply strong downward force when twisting.
Should you apply thread lock? I'd say no. Unless you are very familiar with industrial fastening and the variety of thread lock compounds and are certain you are hitting proper 'retention force' or whatever it is called, the odds are that you will make a mess, most likely for someone else down the road who won't be able to give you a slap across the head for doing it to them.