From the engineering side, it varies a little, but generally if a fastener has threads engaged at least 1.5x the diameter (e.g. 1/2" diameter bolt is engaged >3/4" of threads), the fastener shaft will fail before the threads. Typically, we design to have at least 2 full threads protruding from a nut, so that you don't have unsupported threads right at the end of the clamping force.
In this case, if the lug nuts are thicker and engaging more of the stud thread, but resulting in the end of the stud being inside the head of the nut, it should be fine. If you're engaging less total stud length, that would be suspect. If you're engaging the same amount of stud length, but the end of the stud was inside the nut, that would not be preferable either.
What are the advantages of the aluminum rims? I'm still not completely clear. They are a bit lighter (reducing the rotating mass per tire by what, about 10%?). I've heard they were stronger, but how are we quantifying that? Do they do anything else better (e.g. seal better, use better beadlocks or runflats, etc.)?