1996 GMC Truck - 20 years in salt;
2000 Chevy Van - 15+ years in salt;
Second 2000 Chevy Van - 15+ years in salt;
1995 Buick LeSabre - 20+ years in salt;
2001 Impala - 15 years in salt...
ALL with aluminum alloy wheels and clip-in zinc (no more lead) weights, all winter drivers, all in Illinois/Wisconsin salt baths and I've never had one fall off. I've had some of the clips begin to rust, and can clearly see the staining on the wheels where weights have been removed for re-balancing new tires, but have never lost one. I've had gas tanks, trailing arms, brake lines, fuel lines, and even body mounts rust off, but not weights.
Incidentally, 1994 Impala (alloy wheels) which had tape weights after the second set of tires, and IT lost wheel weights. I went back to clip-ons like the factory originally used. And the car has NEVER seen salt, not even in a grocery bag in the trunk.
I'm not saying it cannot happen, but it is probably not as common as you may believe, anywhere but Seattle and Boston.
If you believe it might be a problem, take a photo of each wheel and archive it. If the shake returns, see if there are any missing weights.