It can happen yes on discs that have drill holes all the way through, ...not sure if they are all prone to this though and I understand chamfering the hole can help stop/reduce the chance of that happening.
Plenty of cars do run fully drilled discs but I don't think you really need that. I have EBC turbo grooved discs on my Zed which are dimpled rather than fully drilled so you do get a nice looking disc which is strong with some of the benefits of the drilled discs.