Sorry, but I forgot the two most important points:
0. For SATA and HDMI (and maybe others) there cables available with their plugs having clamps.
They are good for the cables not loosing themselves, but not holding much stress. Of course I'm aware of on embedded system (Raspberry Pi or similar) the mini versions of the plug-connectros are used. And for them I don't think there are plugs with clamps available.
Most of all sockets today are just soldered on the PCB's tracks only (DON'T pull! ?)
The last plug-in connectors that can be fixed by screws are gone with the last VGA-plugs.
(In the 90s all PC's plug-connectors were fixable with screws - at the housing, not the mainboard. But of course this can be done much cheaper...)
However:
1. First see to get a strain relief in the first place. Try to fix the cable mechanically (cord, cable tie, clamps, tape...) so no pulling force is getting to your plug'n'socket-connection at all.
All you do by any kind of glues or epoxy is to fix the stuff on your board directly. And what stress this can hold is very limited.
Points like moisture, heat, and corrosion are already mentioned, if you chose the wrong compound.
But above all the mechanical strength of the pcb itself and all its parts is also very limited. All layers like markings or solder stop mask are either painted on, or like all copper are peelable laminate, which is also thermal sensitive. You don't want no PCBs tracks being lifted up. ?
2. About coating your PCB:
Also always think of the fact that any coating has some effect on your board's thermal managemant, too!
There are coatings available with good thermal conductivity. But those mostly are very expensive and really nothing to be handeld by hobby handicraft enthusiasts (toxic fumes when drying!)
And in most cases they reduce the cooling of you board anyway, not seldom they are even very thermally isolating.
And it's not the processor only that needs cooling (in embedded cooling is done mostly passive, but the heat needs to be brought off in any case anyhow).
You have powerelectronics ICs on your board like voltage regulators, transistors and other parts like inductors or even (small) transformers. All current leading parts getting warm and depend on some cooling.?
In many cases there is no problem.
All I want to say: Give it a good thought before you drown your board into some plastics ?