I bought a set of black acorn lug nuts on the Net which are supposed to fit for my S550. My concern is that the seat cone is very small compared to the stock nuts and also compared to what they sell at AM (shown below in white background). Should I worry about loosing my wheels?

 

I did the same thing. I inadvertently ordered the small lug nuts. When I received them I dry fitted them to a spare set of wheels and saw the size difference. It leaves a ring around the nut since it is a small shoulder lug nut. I returned them and ordered the "factory bulge" lugs, along with the locks, just to be on the safe side. I figured they made them that way for a reason.

 

Yeah an acorn nut might not fully engage the seat on the wheel the tips of the hex can contact the lug seat before the bevel on the lug gets a chance to fully engage the seat. The bulge nut also generally has a wider seat for greater engagement as well.

You can check the fit by taking something like a grease marker and lightly applying it to the seat and then take the lug and seat it giving it a few turns then remove the lug and look at the pattern on the lug and on the wheel seat.

Most OE manufacturers tend toward a bulge nut and occasionally you'll see an acorn nut sometimes in conjunction with a steel insert in the rim where the acorn nut interfaces with the rim (pretty rare these days though).