How would the insurance knob-jockeys know that the stupid lock nuts weren't there? especaily if you conveninetly find one of the lock nuts under the car, that the scumbag theives obviously droped in their haste.
They must have had an 18mm socket to bash on and remove the nuts with.........better still, have the nut still jamed in the socket!....Sorted!
And when the car has been stolen, trashed and found, wheels still on but no locking nuts, the insurance inspectors are clever chaps. They could easily say that part of the security system has been compromised, what about the rest of it?
At the end of the day it is your choice but I've heard enough instances of wheels being stolen to not want to take the risk.
If my car is going into a garage for work I will swap the locking nuts off for the spare nuts I carry, that way I can ensure that they are treated with respect.
Later MG/Rovers were fitted with McGard locking nuts so these are O/E equipment.
The insurance rating for these cars is based on their security system which includes remote locking and passive immobiliser etc. AND locking wheel nuts.