I used to drive a tow truck. The issue with drive wheel on the ground is with automatic transmissions primarily. Without the engine running on an auto tranny, the lubrication is not functioning and a long tow (i.e. greater than a few miles) can fry the tranny.
Since it's the motion of the gears that generally lubricates manual gearboxes/transaxles and differentials, coasting them in neutral is generally OK. The incline of the lube repository is a matter to consider (already mentioned above).
As a tow truck driver I was taught to NEVER rely on the steering wheel locks. They can and do fail under load. Whatever wheels you decide to put on the pavement, do yourself a favor and tie off the steering wheel to the A-Pillar (crows foot on the steering wheel, close the door on the rope pulled taut, tie a knot in the rope after the door is closed). Whether the front wheels are in the dollies or on the ground, you DON'T want them crossing up (ask me how I know
).