Makes me nervous to file a flat spot on the barrel but the blue thread lock I have and its ok to put directly onto the barrel?

Then don't do the slot. It just adds an additional level of attachment security. Blue LocTite will not hurt a barrel any more than it hurts scope mount or other screws. DO NOT use Green or Red LocTite. Those make pretty much permanent bonds requiring heat and chemicals to remove.

I have the blue removeable loctite in my gun cleaning bag from my ruger 10/22 build so I will use that.
If I were to file a flat section on the barrel what would be a good file to use so that I do not go to deep?

1/4 or 3/8 half-cut mill file. Depth is controlled by pressure on the file - press down harder, cut deeper. It doesn't take much. I actually cut a 1/16" deep slot in the underside of the barrel so it would be impossible for the set screw to slide across the barrel.

I mounted a TactiCool threaded barrel adapter on the barrel and a Tactical Solutions muzzle brake/compensator on the adapter.

I might give it a try, just have to see how I feel about it when I get the shroud.

Just keep telling yourself, "it's just an inanimate piece of metal".

that is true but if I mess it up it is a costly inanimate piece of metal