We used Loctite Blue on our traction wheels and gearboxes and didn't notice any deterioration or anything. The australian version of Loctite's
User Guide* says that the anaerobic threadlockers can be used on Nylon with a primer, so I have to assume it's okay for them to come in contact with the Glass-Filled Nylon that is used in the most of the VexPro line. Not so much the ABS used in the Mecanum roller mounts, though.
*Also has a useful chart of metals that do and don't need a primer. In case you were wondering why your threadlocker with black oxide screws in aluminum wasn't curing.