Regardless of the theory that Keith_J is trying to state, I have used aluminum lug nuts for the last 7 years. I also worked at a car performance shop for 5 years. I installed suspensions, exhausts, turbos, wheels, etc. I have taken plenty of aluminum lug nuts off, whether to swap wheels or install suspension parts. I cannot say that I have never seen one fail. But, I have seen an equal number of factory, steel lugs (or whatever they are made of) fail. Most of the time, it's because the lug is on way too tight.
I do always use anti-seize, regardless of what the lugs are made of. Also, never had a problem with aluminum coming loose. As long as you torque them to spec, you'll be fine. I have been using the same set of Ray's aluminum lugs on my Volks for the past 2 years. Rotate every 5K miles.
Just my experience.
ETA: I used to auto-x, although not with my current car. The car I drove had aluminum lugs on it for the street (with aftermarket wheels). When I raced, I would switch back to the factory wheels, with factory lugs. The last year I raced, I probably switched wheels about 10 times. I rotated my street wheels, too. So the aluminum lugs went through a lot of on/off action. Never a problem. I would have used the aluminum lugs for racing, but they wouldn't fit my factory wheels.