99 KX250 Rear Shock Torque Spec - Not Specified in Manual

25 ft-lbs should be sufficient.

I would peen or lock it in some fashion.

The KX250 manual has a general range for fasteners early in the manual...

Honda has a similar spec early in their manuals, BUT a lower spec for the rear shock shaft nut...

I know the Honda spec is for a Showa shock, and the KX250 has a KYB, but if it's an M12 nut, I'd use the lower torque.

KYB spec for that nut is 29 ft-lb lubricated with red loctite. Stake the nut as well. 

If you don't have a self-locking nut some people like using a locking agent and others will tell you not to. I've done it for years but I let it cure completely before exposing it to oil.

I'll also lock it by using a punch in 3 spots. It doesn't have to be excessive, just enough to deform the metal slightly at the nut/shaft interface. That way, when you go to remove it, you don't have to worry about tearing up the threads. You should be able to work it back and forth to get it loose and then touch-up the threads with a tap (if you aren't using a new nut) and die (or thread file) if they need it.

Good luck.

Red Loctite is good, but leave it overnight to cure before filling with oil.

Peen with a punch...

Has anyone had or heard a story of that nut backing out?

Yes, it does not end well. 

It's clean, you need to fix that!