While I have had to deal with failing lug nut "covers" I am not sure that is the OP problem. The bore where the stud is pressed into from the rear of the drum/rotor look too smooth. See how deep the knurling is on the stud. It looks almost gone on the bore. Loctite make a special adhesive just for something like this, Loctite 668 High Temp.
(My guess is that someone over torqued the nut to begin with and the knurling failed
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