I use Wonder Under all the time for raw edge appliqué. I usually remove the paper backing before cutting (I transfer the pattern directly to the web AFTER it is on the fabric) which eliminates any fraying 95% of the time, plus keeps my scissors/blades sharper longer. If any stubborn threads should remain, I trim them off before fusing to the base. This works even for very small circles.
I have never had edges that were not securely attached, but would guess that you did not fuse long enough or hot enough with your (dry) iron.