The notion that it helps keep the lug nuts on is pretty much B.S.

On some competition vehicles that use a single large nut (a knock-off nut) for fast tire changes it might have some validity, and has been done for that reason. For a normal passenger car, with usually 4 or 5 nuts, the axle torque doesn't apply as a torque around the stud, it's just a lateral force on the stud. The "inertia" of the nut itself would be the only thing, under extremely high acceleration that could "untorque" it. The nuts are so small that the torque generated would be in the "flea-fart Angstrom" range, even at acceleration rates that would twist the axle off.

But it's an oft-heard story, and lots of "car people" seem to belive it.

John