Without a doubt, this failure could have been a disaster.
I have put 70,000 miles on my three conventional road bikes with quick releases on the two wheels. I have never had a wheel axle failure nor have I heard of anyone having a failure. I had 920 miles on my new Specialized Vado 5.0 SL. Its front wheel was still a virgin, fresh from the bike shop. I had to pull off the rear wheel twice to repair two flats.
I was at the bottom of a hill, just beginning a climb when I felt a sudden unusual drag. I immediately dismounted thinking that I either had a flat or picked up a twig between the tire or the fender. I squeezed both tires. They were hard -- no flat. I spun both wheels. They turned freely. Then I looked down the fork of my front wheel and saw the axle extended about four inches. The drag I felt was the front disk brake catching on the cocked wheel. The front axle was nearly out of the fork.
I turned the bike upside down and was able to push in and re-thread the axle. Fortunately, it hadn't been damaged. The wheel spun freely. I also had not damaged the rotor on the disk brake. I righted the bike and rode it. It did well. Nothing was damaged.
I am not sure what contributed to the axle unscrewing. Either it had not been torqued at the bike shop or this was potential failure mode for thru-axles. If this axle had failed on a downhill coast, the disk brake would have set and the bike would have thrown me head first over the handlebars and into the pavement resulting in serious injury.
I was lucky, but I now had another check to make before every ride. Besides checking the tire pressure and oiling the chain, I planning to make sure the thru-axles are screwed tightly.