Another problem with locking nuts, apart from losing the key; is that they are made of steel, and as they are rarely removed, get stuck to the alloy wheel, and are impossible to remove.
Also a little gem of information; If you get a flat tyre, the spare is rarely an alloy replacement, but a steel wheel or a space saver. What is rarely known is that it is illegal to fit that onto a driven axle, as they usually have a different ratio. So if you have a 4x4, a spare is useless. However, it's also illegal NOT to carry a spare, even though it may prove useless in an emergency. And you should not drive over 50mph on a spacesaver, but most are unaware of the above, so flout that law also.
It's lose/lose, however how many are caught is another thing.
Not sure who told you that but its incorrect. There is no legal requirement to carry a spare wheel.