What about this hypothesis:
Dust sticks everywhere, but since the propeller cuts through a lot of air, it meets more dust particles. Thus, more dust sticks to the propeller than elsewhere.
Evidence
I (Mark) took photos my the fan my room to support Damien's hypothesis. The first photo is of the leading edge of the fan blade, which impacts a lot of air, and the second photo is of the trailing edge of the same fan blade. I've never cleaned this fan. The leading edge is covered in a thick, 3-5mm layer of dust, while the trailing edge is almost clean.
