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Brick, I meant to say. What you say makes sense though, I guess the biggest potential for failure is the interface between plug and wall, so best to use the smallest possible for tightest fit.
Polygon-
It actually works a bit differently but there are also some designs of plug that work better with different substrates.
I use different Fischer plugs but always use a drill 1/2mm smaller than recommended. They have one that's better suited to brick, especially where you might be in the mortar.
I will sometimes use an oversized screw to expand the plug that bit more. A 6 plug with an 8 screw happens quite a bit. The larger the plug the larger the surface area of grip between wall and plug so less likely to fail in my experience.
I've hung radiators off plugs of wood smashed into crumbling brickwork, sometimes that's what it takes.
Airhead
Depends what it’s going into, for brick or concrete I like the smallest (usually red) plugs, 5.5mm hole and 5x50 screws. Bigger hole and plug seems like a waste of time, it’ll only be looser.
You do get M5 shield anchors though, just put a countersunk bolt in instead of the hex head.