So far I've only lost two relatively cheap taillights. One of them twice this week - I retrieved it the first time, a little worse for the wear. When it started disintegrating in situ yesterday, I just let it happen. Wasn't worth stopping and going back to pick up the pieces.
It's diabolical how those clip-on taillights can dislodge themselves from a cargo trunk loop while riding - they take a concerted effort to remove by hand!
My route has some rough railway crossings and potholes that I'd rather not slow down for, so it is a bit of a challenge for non-permanently mounted hardware.
I'm going to start adding permanently mounted rear reflectors to all my bikes, so at least I have some protection if the taillight comes off.