I love my Tom Bihn Super Ego messenger bag. It is true that I have to change the strap length when I'm getting off the bike, but that takes 2 seconds.

The anti-shift strap works well.

For longer rides, a rack bag is hands-down preferred. Cooler and a lower CoG.

Sounds like you got a cheapy or are using it wrong.

That said, I guess they're not for everyone.