Well, I've never seen a muzzle-loader blow up, as such.
However I have seen a nipple drum take off from the side of a reproduction muzzle-loader. Turns out the threads were rusted almost away, so it became the path of least resistance.
Made me think of those breech plug threads, would hate for one to come loose. That said my gunsmith opines those he has taken out from originals actually tend to be in pretty good nick, so was curious what these were like as there has obviously been some corrosion in the breech area.
I've not taken mine out, I'm too worried about damaging something if they are too tight.