I've not had a threaded headset loosen for several decades. And setting them up is not very difficult for anyone who has experience working on their own bike. Manufacturers created the threadless headset for their own convenience and are not ashamed to admit it. The removable faceplate is certainly a convenience especially now that there are so many cables up on the handlebars these days. We lost the handy vertical adjustment but that wouldn't have registered with new bike buyers anyway.
I used to think that threadless stems were just about the ugliest thing ever put on a bike but they match modern bikes quite well now.