The spring "set" does happen. They also do (extremely) slowly encounter a condition called "creep" while loaded (or unloaded for that matter, but I suspect this would be to a lesser extent).
Basically, even within a material's elastic limit (how much you can deform it before it changes shape permanently... think of bending a paperclip: You can bend it a little and it pops back, bend it a lot and it won't), if it is held anywhere except equilibrium, the crystalline structure will slowly (again, I'm talking extraordinarily slow, especially in spring-steel and coil-springs where a large deflection of the spring is associated with a small deformation of any location on the spring) deform and the spring will lose a (for the most part negligible) amount of "springiness".
Unless you're loading your pmags to 31rd (it'll fit in there) and letting them sit for 30 or 40 years, or examining your springs regularly with an SEM, you will probably NEVER notice this lost springiness.
In theory... they will stop functioning over a certain amount of time. In practice, they would more than likely corrode or be confiscated by a Zombie Hit-Squad before creep kills them.