Looking at the rivet you should see a hole down the centre. Get a drill bit which has a slightly larger diameter then the hole, maybe 0.5mm larger. Gently drill down that hole with the drill. Usually the top of the rivet will break off as you drill in so the rest of the rivet will just push inside. Simple as that. I always use self-tapping screws on their own, no Loctite, and none have unscrewed yet...
If you don't get the rivets in tight with your rivet gun they will eventually break up and fall out so screws can be better in that case.