On various occasions, #8-32's have kept the wheels attached attached despite the buggy getting punted into the stone curb for long enough to grind down most of the screw head and collisions that ripped the entire axle off. The same design has been used on exposed wheels for least 20 years with no wheel detachments that I know of.
A seized bearing would be a problem - a poorly thought out emergency repair from the spare parts bin (to replace the spindle with the ground down and now unremovable screw in it) caused a bearing to bind and resulted in the complete loss of all retaining hardware on one wheel and only blind luck and poor machining of the spindle prevented the wheel from going its merry way. This scared the crap out of me, so my later designs used a keyed retaining washer that wouldn't spin no matter what.
Looking at the pictures of spun-out Spirit, my question is how do they get the spindles (with no apparent wrench flats) into their threaded axle ends. At least the spindles are positively secured to the axle.