In my 20+ years of cycling I've had two instances of QR skewer failure. Both were of the external cam type and both had the nut end (not the lever end) unscrew itself. On one case, I'll take the blame as it was one of those ultralight Ti skewers from eBay (probably didn't pass QA and should have never been sold). The other is a stock Bontrager skewer that seemed really solid and robust but it was on a gravel bike and maybe I didn't tighten it enough before clamping. Possibility of user error there but I still don't trust it fully.
Apart from this, my opinion is that a skewer is a skewer. I like Shimano and Reynolds ones. Mavic skewers feel nice but I don't think they clamp as hard, but they've also never failed me, either.