Hi Klaus,
No, I've never heard of anyone breaking a graver at the machine end but I'm fairly new. I don't and I believe most do not tighten the graver into the handpiece, it is not necessary it just slips in and out. I believe the set screws are for holding the graver in alignment from point to the handle flat not to hold it in. Is it snapping in half? If you're tightening the side pressure and vibration may be the cause, Steve will be able to tell you, email or call him he's always helpful.
Bob