Some of the AliExpress Kelvin clips I've tried seem pretty good, not super-robust if accidentally crushed e.g. stepped on! but definitely usable, although there's no real cable strain relief, but that's easy to work around with things like heat-shrink, etc. The ends are not heavily grooved, only lightly, but they stay on unless the cable is tugged. Some LCR meters come with such Kelvin clips, and they work fine.
In terms of physical size, the Mueller Electric BU-75K Kelvin clips are smaller, but more expensive : (
They come with screws (for using with small ring terminals I guess), but it's possible to quickly solder instead (the plastic will melt a bit if not careful), if that's preferred. Main downside is that the screws are still required, because they secure the terminals in place. My solution was to remove the screws, solder the wires, and then put the screws back. The bulge where the wire insulator passes over the screw heads, provides a nice grippy area to hold the clips. That explanation was probably not very good, but hopefully the photo makes it clearer.
The contact ends are pretty flat, not really grooved much, but can stay clipped if no tugging on the leads.