May be playing "Devils Advocate" but there is and has been for many many years a thread of thought that copper grease should not be used on wheel nuts. It is/has been suggested that the nuts can be overtightened due to the effect of the copper grease. Going back a few years (I am almost 72) it was never ever used on wheel nut threads because of the problem of over torqueing the nuts and fear of causing hydraulic affect in domed wheel nuts. The favoured approach was to thoroughly clean all oils, grease etc from the thread and keep them dry. The HGV industry is always warning that wheel threads should not be greased and always re-torqued after a few miles of use when wheel nuts have been newly re-fitted. I know the HGV industry and automobiles (cars) are totally different technology but the principal is the same in both.
I am not offering a definitive statement, just offering a different point of view.
Best Wishes and Regards, John