Though not common, I have seen sway bars break. Sway bars are essentially a big spring. They are torsionally loaded, as are coil springs. There are some cases I worked on where I saw corrosion pit the surface of a torsion bar. These pits then become a stress concentrators for the onset of fatigue fracture and eventual failure. Not common but it does happen.

Practically speaking, I wouldn't replace the sway bar for corrosion. I'd wait until it fractures. I doubt anything catastrophic can happen with a sway bar fracture.

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95 E320 Cabriolet, 159K