Sure, the wire will be weaker at the bend, but on a proper Z bend with proper wire, the Z is still far from the weakest link in the control system anyway. You're more likely to break a servo arm than a Z bend. I've sheared off any number of servo arms, so I know they aren't all that strong .

Of course if you are using heavy duty arms, metal servo gears, heavy duty metal control horns, etc it's a different story, but you don't see Z bends (or ez connectors) on those kinds of setups anyway .

I've never seen a properly done Z bend fail. I've seen all kinds of other failures though. If you can break it, I've broken it. Now, I have broken hardened wire while trying to bend it, but as John pointed out above, you shouldn't be Z-bending that kind of wire. A lot of imported ARFs come with hardened metric wire that will not take a bend with out fracturing.