Dealer is correct.
Locking nuts are used to stop expensive alloys getting stolen (even though the sockets needed to remove the locking nuts are easyily available through halfrayds or eBay), as its unlikely steel wheels will be nicked they are not used.
Unless you have very expensive alloys, having your wheels nicked is extremely rare nowadays, and given the problems with locking nuts especially them breaking at the wrong times your better off just using normal nuts.
Thieves nicking alloys went the same way as thieves nicking car stereos , there's simply no money in it to justify the risk.
It mostly happens to expensive cars where they use big, expensive low-profile tires on alloy rims.
There's just no market for stolen 'normal' wheels these days.
(Except for certain gangs coming from some of the countries we used to be in a cold war with, mostly. They may nick your wheels if they happen to have a car with compatible rims. But most of them drive big vans or Mercs)
For tire fitters, though, it's a completely different issue.
Here in norway they're even slashing the old tires as they take them off the rims, so that they won't be usable by either gangs from *those countries* or the local petrol-heads.
(You know, the amateur 'drifters'. Those that does it illegally. )
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