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My experience is that a greased cog runs much easier on the threads and therefor goes further and gets tighter.
This is basically true for every threaded coupling. For a given torque, the preload will be higher the better the lubrication is. It's preload which prevents loosening in service. Do remember to bear the friction, or lack of, in mind when deciding on a tightening torque in general, since some bolts which have a suggested dry tightening torque will actually snap from the preload tension if you apply the same torque with good lubrication.
My experience is that a greased cog runs much easier on the threads and therefor goes further and gets tighter.
Never loctite a track cog on, I've had to deal with the aftermath of another (cytec qualified) mechanic doing this and it's an utter clusterfuck.