Soldered VS ...everything else

How do people feel about set screws in bananas or spades?

Not by themselves, again, in a gold plated copper crimp sleeve is ideal.
However, again the issue is that in the cheapest types the threads are too coarse and the material is too hard to set properly. I've seen lots of cheap examples that come loose very quickly.

As a challenged audiophile, if solder is not good then why when I had to replace a tweeter on my old Infinity Kappa 8's the connecting wires were attached with solder? Curious as what the high end speakers use to make the connection.

Crimp, solder and Geoffkaits suggestion painting with Graphene.

A few thoughts:
As alluded to above solder comes in many alloy formulations.
The good old wire looped into a screw down terminal alleviates one connection point.
Silver and silver oxides conduct better than gold.
As to what everyone prefers...

As alluded to above solder comes in many alloy formulations.
The good old wire looped into a screw down terminal alleviates one connection point.
Silver and silver oxides conduct better than gold.

And none of it is as good as a cold weld for current.