I am not sure what I'd gain from running fresh speaker wire. (...) routing it would be a large challenge. Is there that much to be gained from it?

There would be not much gain from running fresh speaker wire. The only time it would be useful is if you upgraded your speakers to something that was extremely high power and required much heavier gauge wire. Unless you're doing this, running fresh speaker wire would needlessly complicate your install and should be avoided.

Has anyone had the RCA connection to the sled become loose, or do the hold solidly enough?

If you are referring to the wiring crimps pulling out of the docking connector, there was a known problem with a certain batch of Mk2 connectors that were not well-crimped. If you find that your wiring pulls out of the docking connector, you should get a replacement loom from support.

If you are referring to the male RCA plugs coming unplugged from the female RCA plugs, this is rare as they're usually pretty tight. However, you should be taping or shrink-tubing around them anyhow to prevent the metal shrouds of the connectors from touching any metal frame parts inside your dashboard.