Looking for pure copper or Cu/Au bananas

I have not seen any "locking" banana plugs that worked at all.  The problem is exactly like you said -- the plugs just do not grip tightly at all.  The same exact problem exists on any other "locking" connector.  I don't like locking connectors of any type, banana, RCA, etc.

If you go to this following link, scroll down and look at the picture of the bare banana plug:

Audiophonics site - FP-200B

This model is not a "locking" type banana.  The plug itself is formed using a slightly larger diameter than the standard banana socket.  The stiffness of the metal acts as a "spring" to hold the plug in the binding posts.  I have used these many times and the connection is extremely tight!  The gold-plated models are $19 each and the rhodium-plated are $22 (not that much of a difference).

Once you clamped down the set-screws, you can either use the existing screw-on shell or just heatshrink the ends.

I have not seen any "locking" banana plugs that worked at all. 

Well for grip strength and reliability I do recommend the WBT line. 

Look at  DH Labs pure copper and 2 screws for good physical contact .

I think I've settled on a good, relatively affordable set:

Back when I purchased my Furez bananas, I contacted Furez, told them what I wanted, and purchased directly from them. As mentioned above.......I like the products very much. Those Furutech bananas have " lots of different metals ", for what it's worth.