I don't recall any F1 car entering a live track with in an insecure wheel in a long time. Both Haas cars at Melbourne in 2018 perhaps? Normally they're told to pull over at the end of the pitlane or immediately afterwards, long before the wheel has come loose (and before posing any real danger, though a loose wheel injured several mechanics at Imola in 1994). Maybe an F2 car, though again none immediately spring to mind.
Graham Rahal's wheel came off exiting the pits at the Indy 500 last month though, which was subsequently struck by Conor Daly. Now with Aeroscreens and halos that shouldn't be a problem for the drivers, but it's still an issue for marshal and spectator safety. Perhaps that was the catalyst?