NO, you are not required to lift the weight off the wheel to change lug nuts ONE-AT-A-TIME. Even 2 or 3 wouldn’t be a real problem unless there were other damage/problems with the wheel or studs.
The ExpST and most all contemporary vehicles have hub-centric wheels where the wheel is centered on the spindle/hub via the center bore fitment. Aftermarket wheels can be a crapshoot if it isn’t listed in the fitment data for your vehicle. The nuts/studs hold the wheel laterally to the hub, but not axially.
This fact is why/how sometimes the wheel will stay stuck on the hub with all the nuts removed, especially on a vehicle allowed to sit out in the weather for a long time.
The aluminum/alloy wheels flex and expand/contract quite a bit differently than steel wheels which is also why you should retorque them after some miles of driving with full heat cycles.
Bottom line, just swap the nuts individually and all will be fine, if torqued properly.