I've also heard of numerous occasions where this has happened and I've also seen it personally a few times, Time attack 2009 was the most recent one I think, Andy Napier's Impreza broke a wheel which had been powder coated only a few weeks prior to the event iirc.
I've been given and read all sorts of theories as to why this happens. As mentioned, some places basically roasting the wheels to get old coatings off. Some suggesting the acid not being fully washed off the wheel prior to coating. Some types of alloy being susceptible to the acids used, combined with the heat curing the powder. I don't have enough knowledge of alloys and acids to know if any of these are even plausible.
For all the wheels that have been powder coated vs the number of which that have failed, odds are that it's pretty rare.
That said I still wouldn't get wheels powder coated, I would rather get them bead blasted (using the right grade of grit, ie not firing rough cast at them!) then have them sprayed. That way you know for sure there's nothing you've done in the refurb process that could adversely affect the wheel.