Well, it's happened to me, more than once. The first time on a silk piece. Also, I've had many students whose work has been ruined because the pencil won't wash out and they made mistakes when transferring the design.
Since my own experiences haven't been good, I never recommend using a No. 2 pencil. I've always been meaning to try an HB. I have seen that recommended by designers/embroiderers. Never have, however. I even bought a few to try out, but never got to it for one reason or another.
Dianne