Are the KAK Shockwave Dimples Strong Enough for 7.62x39 recoil ?
Should I drill them deeper; or even drill through so the whole diameter of the set screw is
taking the energy of the recoil, not just the tip?

I'm no lawyer, but my thoughts are that if you performed that modification, it would go to show intent that you meant to use the brace as a stock.  Thats the line between legal braced pistol and illegal unregistered SBR.

Shockwave is fine, comrade.

I'd bet the recoil would dislocate your shoulder before it damages the dimples on the tube.

But if that's a concern, or if you want something more solid to bust down a door or mortar on the ground, one of the adjustable shockwaves may be sturdier.

I had one on a Draco pistol and an AR pistol in 7.62x39, I later replaced them with adj. braces but neither showed any wear or deformation on the dimples.

Not sure if drilling thru would be better. That screw should still be exerting pressure against the tube to keep the brace solid, if you drill thru you'd probably have to thread the tube, other wise there's no tension on the set screw and it could easily back itself out, unless you used Loctite. But still no guarantee it wouldn't work it's way loose. At that point I think I'd put a spacer in the buffer tube and tap/thread that.

never heard of any issues with Shockwave dimples getting worn/damaged...

Have a KAK Shockwave blade on my mini Draco.  I put locktite on the set screw, no issues so far.