Hi,
During the last 50 years or so, I've always greased wheel amd other nuts, before replacing them. I was rather surprised to see in my Toyota Ower's Manual that they cautioned against greasing, as this could lead to over-tightening or cause the nuts to work loose. They recommend that any oil or grease should be removed.
I've never had any problems due to greasing wheel nuts, but would be interested in your comments.
Cheers
Clive