I know there has been a lot said on this subject one way and the other. I saw yet another example of why to properly lubricate lug nuts yesterday. My neighbor was replacing the tires on his pop up camping trailer. They were cracking and dry rotting from too much UV light exposure. I saw him struggling trying to get both wheels off, and walked over to see if he needed any help.
The lugs were so tight neither of us could move them with the small wrench he was using. He said he never had the wheels off since he bought it. I had some Kroil, and we sprayed all of them and let it sit for a few minutes. Same deal. They wouldn't budge. I had a 1/2" breaker bar with a 6 point socket, and told him it would either break them loose, or else crack them off.
With the breaker bar and a piece of PVC pipe as an extension they started to crack loose, but were snapping and popping for the first half a turn. Every time they did a puff of white corrosive dust came out from around the nut. I kept spraying and forcing them until we luckily got them all off without snapping any of them off. The studs and nuts were all bone dry. When he got back from having the new tires put on, I had a rotary wire brush and cleaned all the studs with my cordless drill. Then blew them off with compressed air, and coated both the threads on the studs, as well as the threads on the nuts, and the tapered seat that meets the wheel with a liberal amount of Loctite C-5 anti seize. They obviously went on much easier then they came off.
I always use anti seize on lug nuts, and have never had this happen. Not even in Chicago through slushy, road salt filled Winters. I've never had a lug nut come loose either. On the other hand, I have seen all but countless people struggle with seized up lug nuts like my neighbor did. So you can put me in the column that believes keeping lug nuts properly lubricated is a definite advantage over leaving them dry.