Just think about where that great big, heavy pulley is going to go if it comes off the shaft. I was lucky, the guard on the electric fan caught it with no further damage. Would have been much more "interesting" with the original mechanical fan!
I did try drilling and tapping a hole for a bolt to retain the pulley. I think it would have worked, except that the shaft was worn undersize so even a new pulley did not fit tightly. And as I said before, that joint has to go together tight even before installing the retaining nut. Even without the belt being too tight, just the force to turn the pulley at higher rpm is going to be enough to make the joint flex if there is any give at all. And if it flexes, the pulley will fret against the shaft and wear both of them out over time, until something breaks.
If you can push the pulley into place with your fingers (even without the key), than it IS going to fail eventually.