Given the number of folk who, like me, do use Copaslip on wheel studs, bolts and flanges if there really were a problem you'd know. Wheels would be falling off by the truckload everywhere! Obviously not so the whole thing is clearly a non issue in practice despite the multitude of folk enjoying themselves arguing about it on t'net, in the pub and on garage forecourts.
I know actually looking up the relevant engineering data is cheating but a quick look at the Copaslip short form advertising data sheet illustrates the point.
The short form of the standard thread equation relating torque to clamping pressure in metric units is T = KDP
where T = Torque (N.m), D = Diameter (m), P = Clamping force (N), K = Nut factor. For practical purposes K is the co-efficient of friction between the two threaded components. Certainly so in this case.
The Copaslip data at :- https://www.molyslip.co.uk/products/anti-seize-and-assembly/copaslip/ has list of K values for for several materials coated with Copaslip. Steel on steel as would be appropriate to wheel nuts is given as 0.12.
The Roymech website at :- http://www.roymech.co.uk/Useful_Tables/Tribology/co_of_frict.htm includes a useful table of coefficients of friction for threaded steel fasteners. Generally 0.12 to 0.18 for mechanic cleaned steel fasteners so not vastly different to Copaslip coated ones. Certainly the maximum 6 % difference is well within the safety factors of rational engineering for load carrying structures. Basically all Copaslip will do is to stabilise the co-efficient of friction at the low end of normal range. What may be surprising is how little difference lubrication makes to the measured figures. Reason is that pressures in the thread of any reasonably tight joint are so high that any normal liquid phase lubricant is squeezed out of the load bearing side so its near enough pure metal to metal contact. Of course the moment the pressure is released the lubricant can get back in so the nut spins on really easily. Bit different if you use a solid lubricant such graphite or moly powder. Some of the modern synthetics have enough extreme pressure performance to really upset things too.
Perhaps surprisingly Copaslip is only around 15% copper, the rest is a thin oil with thickening agents so it behaves like grease when not under pressure. When put under pressure the carrier squidges out so the joint is made via a very thin layer of pretty pure copper. More or less a mechanical plating process. The anti size properties come from the relatively low shear strength of pure copper allowing the "plating" layer to shear if everything else is gummed up.
Realistically, unless you put stupid amounts on so the carrier can't squidge out, Copaslip makes no difference.
Clive