I have bought and use two after market skewers, alongside the official BKool one. I have never had a problem with any of them coming loose though. I do use a rubber mat under the turbo, which does stop anything moving around, and I don't tend to sway from side to side, just 'pop' the odd wheelie when I'm in the mood.
I do it up pretty tight mind you....so tight Camlo can't undo it, which can be great cause for annoyance if I've either left my bike on and she wants to use the turbo, or if I have 'clamped' her bike on and she wants to go outside, in the scary real world...with bears and monsters, and you can fall off!