Fasteners can be CNC drilled or bench drilled are both available services to fastener companies.
Volume runs are generally carried out on CNC machines or gang driller, drilling machines with multiple heads.
Bench drill is for small batches.
Drilling can take place through the across flats, through the screwed body and through the centre of the screw; in any direction the fastener distributor demands.
Drilling gives added security in that cotterpins or wire can be placed through the holes and tied off securily to the component.