Probably just O/C, but I have to take them off occasionally if for no other reason than just to be sure they will still come off. When I do, they always have a crappy accumulation of powder and solvent residue inside. That's enough reason for me to keep doing it.
Some other reasons have been posted. The most common one I've run into is a patch that gets stuck in the brake, and my favorite concentric brake, the Vais, has a chamber in the back of the brake that accumulates so much crap that it needs to be cleaned fairly frequently.
I use a homemade tool to tap one up tightly or to pop it loose, either a fitted piece of drill rod for concentric brakes or a soft steel or aluminum blade for side port brakes. Choke grease, dead center lube, or NeverSeize on the threads. Fine threads gall very easily when dry. I learned the hard way of course. Had to part one off. Trashed an expensive side port brake.
My logic for tightening a brake on with a couple of good licks is 1st, since it affects barrel harmonics, I want it to be a part of the barrel, with no possibility to move and be inconsistent. 2nd, is just so it won't start to unwind while I'm shooting. Like a lot of the things we do, this is just my preference for dealing with muzzle brakes, but it works.
A plug for JE custom: I've got his brakes on 2 of my rifles, and they are phenomenal. One took my .338 x .378 from 50 ft/lbs of recoil to 18.5 ft/lbs. Check out his website @ www.jecustom.com - Home of the Assassin Muzzle Brake
. Some good video and data. Well worth the time.
Good shooting, Tom