I'm with you there. I've been clipped in since the first SPD's came out around 1990. I don't care for flats at all. I tried them foe only a short period of time though. I won't ride a skinny that is high up. Too much exposure for me. I only run XTR/XT style pedals. I had the DX for a year and the cage didn't do anything for me. I tried the DX shoes but I prefer something with a very stiff sole and it seemed like a regular 230 shoe wasn't so hot on the cage unless clipped in. The cleat on the DX shoe seemed to skate scross the DX pedal too making them less secure than xc pedals. I often end up standing on the XTR pedal not clipped in and it's fine. I don't ride very far unclipped and I don't unclip and then ride something on purpose.
That was good advice to start with low tension and do it up as a response to inadvertant releases. Kind of like ski bindings. If the binding releases when you didn't want it to, you go up a DIN number until you elliminate unwanted release.
Good advice. If you have a super stiff soled XC racing shoe the cage is not really needed. I find with skate style SPD shoes the sole can easily flex side to side and you can roll off the side of the pedal, even under max tension.