I totally agree- I use iphone for live music performance with a Yamaha MIDI adapter that clips into the dock connector. Even that MIDI adapter does not use the dock's clips (Yamaha left it out of their design), and I have often had it pop out in performance. So I have to use a rubber band to keep it in place.
I am having nightmares about that tiny Lightning connector, stacked with the annoyingly thick Apple dock -> Lightning adapter (which also does not clip into place), then further stacked with my thick MIDI adapter. It just seems completely non-feasible.
Apple come on. You just rendered obsolete a whole ton of existing accessories, all in the name of "thinnest" (which at this point is ridiculous because the damn thing was already thin enough by far). Your users would much rather that you not break compatibility with all these existing peripherals.
What good is this tiny connector that can't even clip into place?!