I've used many MOSFETS in my clocks, with zero problems. In my opinion, the 
main nixie-ish advantage of a MOS device versus bipolar ( NPN or PNP)  is 
that the MOS device requires essentially zero power to keep the device on, 
whereas bipolar devices require a small amount of base-current, typically 
100uA or less to drive nixie tubes. Also, various driver chips like the 
HV5530 are NMOS devices.

There are 2 precautions you must observe

   - Overall circuit-design: Make sure none of the datasheet parameters are 
   exceeded. 
   - Electrostatic discharge (ESD) protection.

 I dont know what the diode is for; circuit-wise and ESD-wise I dont see 
any functional purpose for it. Having it there does not cause any problems 
that I can see.

Is the 1meg resistor across the gate-source on the same board as the MOSFET 
? If not, then that's most likely the problem because there isn't any path 
to prevent parasitic charge from accumulating on the MOSFET and destroying 
it.

If the resistor *is* on the same board as the MOSFET, then next thing to 
consider is how you connect the 2 boards together. It's best to have the 
grounds connect together first. If you are already doing that, is there 
anything to protect against excess voltage at the drain, such as a 
zener-diode or a bleeder-resistor ? I often use 10meg resistors at the 
drain terminal of high-voltage MOSFET circuits to bleed-off any charge that 
could try to accumulate during board assembly/handling.

What about the power supplies ? Is the LED's power supply the same supply 
that runs the PWM controller ? If not, that's another potential problem.

I doubt you are exceeding the maximum-power dissipation of the device, 
especially if the LED supply voltage is 12V or less AND the max current is 
20mA or less. If either of these values are exceeded, you will need to 
calculate the power dissipation, and from there, the temperature-rise of 
the device.
------------
Now regarding ESD....

My workbench has an ESD-mat, I wear an ESD wrist-strap, use an ESD-safe 
soldering iron, store all of my ESD-sensitive components in conductive 
bags, store my PC boards in conductive bags once they have sensitive 
components mounted, and I also have an ESD jack on the PCB that I connect 
to ground before I remove the board from it's bag. I dont wear a conductive 
smock (I should), but at least I only wear cotton clothing when handling 
ESD-sensitive devices. It may sound paranoid, but I've never zapped a 
device.

I realize not everyone can work in these conditions, and if you cant, then 
at least work on a concrete floor and frequently touch the circuit-ground 
of your project with your fingers to equalize the potential between 
yourself and the board. I also suggest touching the circuit ground at the 
same time you pick-up a conductive ESD bag of parts. I've done this at a 
minimum for 40 years now and have never zapped a part, even when ESD was 
not well-understood and many devices had little-or-no internal protection.

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