You must always close the valve.

Your experience is opposite to mine - when locked closed a presta valve always seals. It is imperitive to close the valve before riding the bike - I hope this is common knowledge. And don't over-tighten it - it has to be closed hard enough that you know it is closed, but so you can never get it open easily when you need to. In my experience they do not often loosen while riding. It has never happened to me, as far as I can recall. I have had lots of Schreader (sp?) valves start leaking in the past. It happened to the valve on my car's tire last week.

The only presta valve failures I have had are from the valves completely disassembling when you try to open them so that the entire inside part of the valve assembly shoots out like a torpedo into the ditch, or down a sewer. The last time it happened to me I was alone on a rocky country road in the hot summer sun surrounded by a thick cloud of deer-flies and black-flies and horse flies. I was almost driven to madness in the five or six minutes it took me to find the lost valve part.