The McMaster-Carr models are terrible. They model a representation of the thread form that is inaccurate and has lots of geometry: this chews up core and video memory for nothing. 3D models of fasteners should have schematic screw thread represntation only: the major diameter diameter ofthe screw is a simple cylinder, and the minor diameter is represented by a surface.
Pro/Toolkit has a bunch of fasteners in it, but some of these have unnecessary detail (the sockets on hex socket head cap screws, for example). The biggest danger from these parts is they are all built from family tables: if you don't use them in a particular manner, the entire family table gets loaded into your local workspace. Also: if you add a new instance (such as a different length) to a family table, ALL of the instances must be rebuilt. This can be a real pain if the family table is large (as these fastener family tables frequently are).
In Pro/E, I create new fasteners from existing parts that were not built from a family table by copying them and editing the dimensions. This is easy, prevents undesirable relationships between parts and I can assign a Real Part Number to the filename. Since all (but one) parts built from a family table in Pro/E are simply instances of the part, such renaming is not possible. While some other CAD packages (i.e., SW) allow the user to easily separate library fasteners from their family table and assign a meaningful filename(such as the actual part number used by your company), I don't think Pro/E's Pro/Toolkit allows any of this.
