At the track...if there's a car that has had a wheel come off...its usually a BMW. Yes, I would say you MUST torque the lug bolts. Oddly, one of the few inherent weaknesses at the track if you ask me. If you DON'T torque them...especially on the track...the lug bolts WILL come off.
Not sure if this is better or worse...they'll strip out the hubs. Then you're stuck with a pretty significant bill.
Most other cars that use a more sensible stud and lug nut...I just fire up the impact gun, make it nice and tight and you're good. If they lug nuts do strip, then you just bang out the stud and replace...much cheaper.
2015 F34 328iX GT Glacier Silver
2011 E90 M3 Monte Carlo Blue
2004 E46 M3 Imola Red