Go blast it around a track for while with that 0W-20 to get the oil temperature to 250+ F for an extended time and let us know how it goes. Any car driven mellow 99%+ of the time on the street will not "blow-up" going down an oil grade. But how do you know you are not causing more wear by using a thinner oil. Technical studies certainly do show that thinner oil can cause more wear on certain engine components. Thinner oil viscosity reduces the minimum oil film thickness between moving parts, and the smaller the oil film the more likely there will be metal-to-metal contact and increased wear. It's simple tribology.
People think just because the engine didn't blow-up that everything must be fine, but people have no real accurate way to know if their engine is slowly wearing out faster by using a thinner oil. I'm talking about the hot viscosity, not the cold "W" viscosity. Of course no engine technically really needs anything above a 0W for cold start-up.
But the W rating can have an impact on the hot viscosity charactgeristics. For instance, a 10W-30 vs a 5W-30 will have a slightly better HTHS, and will most likely also have better shear viscosity above the standard 1M/sec shear rate due to less VIIs.