A situation can occur between two different metals where they actually form a bond (galvanic reaction) that can be very difficult to break. On cars, this supposedly can happen with aluminum heads and steel spark plugs. If it happens, the spark plug will not come out, or more likely the threads will strip. I've never actually heard of it happening to anyone.
I've used it only a few times when it was specified for a reassembly procedure. Never used it lug nuts, plugs, etc. Never had a problem, but maybe I've just been lucky? It can't hurt to use it....