After spending my life taking wheels off and on (I probably do it about 5-10 dimes a day, I can tell you this. I have never seen a failure or wheel coming off due to lubed threads and lubed friction surface. On the other hand I've seen plenty of seized, broken and stripped studs/lug nuts/lug bolts that are dry. In all of my years in racing and doing pit stops, we had to lube the studs just due to us zinging them off and on. If we didn't do that, then it was problems with stripped threads or wheels coming off (which when the nuts are not tight, it just shears the studs off unless you can get it into the pits quick enough). Luckily, we now have graphite coated studs which alleviate the problem and thus become a maintenance free item.
One of the major problems is the breakaway torque. Thus dry fasteners in a dirty environment or corrosion environment, will be much higher than the application torque. Thus, I've seen cars with 80 ft-lbs application torque where it takes 140 just to remove them 6 months later. I can also tell you this, it takes about 220 ft lbs to pull the threads out of a hub on a VW. I tested it out with a wrecked car where we were curious as to what it was going to take.
My suggestion is to use anti seize on the threads and friction surface. Plus put some on the centering hub. People forget that and trust me, every day I get at least 2-3 cars where it takes a pry bar just to remove the wheels from the car because it's corroded on the centering hub. Thus, forget ever trying to remove that wheel when you have a flat out on the highway.
If you want the best wheel studs on the market, here's the place:
MSI Racing Products