> This new lamp had to be assembled,
Assembly was minimal. All you have to do is remove the plastic padding, hook the two outer springs on then plop the arm into the base. Hardly difficult.
> with just a small grub screw holding the lamp to the base . . .
You make it sound flimsy. But this is not the case. The base and the arm are solidly constructed - and the base socket joint has a clever plastic gasket which allows it to swivel easily without grinding metal. The grub screw fits neatly into a channel in the arm gasket, and is merely to prevent the arm being pulled out of the base if you lift the light off the table by the arm. The grub screw is not structural - indeed you can remove the grub screw and everything still stands and works perfectly.
I am generally against mercury bulbs - since the quality of the light is not as good, they are expensive and you need a HazMat suit to clear the mercury should you break a bulb. However, it does have some advantages in this lamp: Since it doesn't get hot - you don't need to worry about burning your hand on the lamp shade. Also, the light doesn't smell of burning dust and will not become discoloured due to the heat.
Therefore I am happy with the CFL bulb supplied - but may try a halogen if/when the supplied bulb fails.