(guessing that the grub screw wasn't fully secured into place)
That is a bit of a worry - Glad you and the car are ok.
I have been straight out to the garage looking for the grub screw. Don't seem to have any on the 4/4.
When young and penniless I had a Berkeley three wheeler with the most ridiculous enclosed domed nut holding on each of the front hubs onto the FW drive shaft splines. They required a fist full of shims and trial tightenings to line up a 1/8 split pin with 1/8 holes in nut and shaft. Out of sheer frustration I put a thinner pin through on one occasion just to get done and out for a drive.
With my 4 year old brother at my side, fortunately going up hill at 30 in a quiet country lane the wheel and hub (offside) detached itself last to be seen flying over a 6ft high hedge. The car ground to a halt welding the bottom king pin nut on for ever.
There was no one about, no phones nearby, so with brother in hand I walked 3/4 mile back down the road where fortunately I found the nut washers and shims in close proximity to each other (no slit pin).
Next I had to find a gate to get into the field and recover the wheel. One hour later with on board toolkit, spare shims and split pins I managed to get the wheel back on and drive us home again with no one the wiser (little brother was too young to tell on me).
Any Berkeley past owner will no what I mean because the hubs were a nightmare to keep on and lethal in a highly inflammable fiberglass car.