The reason I asked if anyone has actually had a wheel collapse is because:
Of all the bikes I've owned I've had just one that broke any spokes, and it was a complete b*gger for it. It started within a month or so from new, and kept doing it for the 20 odd years I used it, even after fitting a new rear wheel on one occasion. At the start, I'd take it straight back to where I bought it, collect it the following week, then be back again the next week for another one replacing. I went on replacing spokes one at a time like that for a while, but eventually got fed up of it, so I used to leave them until I'd collected enough to make it worth the bother. The most broken spokes I ever rode with before replacing them was seven, and by that time it wouldn't run without rubbing on the chain stays, but it didn't collapse, even fully laden for touring.
I don't know why it was such a problem, I used to think it was a bad batch of spokes until the new wheel carried on the same way. I don't see that it's anything I was doing: it wasn't overladen, it wasn't bounced around on rough terrain, and it wasn't treated any differently to all the other bikes that were no trouble. My current bike's done 46,000 miles, 10,000 of those fully laden touring, which is far more than all the others put together, and like all but the one culprit, it's never broken a single spoke. It has stainless spokes instead of rustless, but then, all the previous bikes had rustless spokes, and they were no problem. Perhaps it was all down to bad wheel builders.
My view is that you'd have to be pretty unlucky to break a spoke, and even if you do, it's not worth fretting over until you get home, and certainly not worth faffing with at the side of the road or carrying heavy tools for.