I think people pass it on because it's good advice, but not because it happens a lot. Bags do get lost, this happens with any air travel where you aren't loading the bag into the plane yourself (meaning: I've never lost a bag on a private charter). But I kind of liken the whole "use common ammo in case your bag gets lost" thing to the whole "wait 30min after eating to swim" thing. Good advice, but not much issue of you don't follow it.
Most of us reload anyway, so even shooting a common cartridge, if our ammo gets lost, there will be work to be done. Luckily, there will always be camp rifles available from the PH or outfitter, so I don't tend to worry about it. I usually take two bags, so I'll split up my ammo to make sure at least half of it gets there. For intra-continental (Canada, Mexico, and Alaska), I have shipped my firearm ammo to myself at my hotel/outfitter base/local gun shop in advance also instead of flying with it. In that case, if the shipment was lost, I had the option of flying with replacement ammo, but could avoid a few airport headaches by not flying with it.
I personally worry more about my clothes and gear not getting there than I do about my firearms and ammo. The firearm will get returned at some point (usually), as would the bag the ammo is in, which matters less, and the camp rifle and ammo will still allow a successful hunt. But I've had multiple instances where my clothes and/or gear don't arrive for long trips, and I hate the mad scramble to get re-kitted and redressed first thing when I arrive somewhere.