Richard, you are absolutely correct, six separate pieces is a much better idea, and while there is not one single valid technical reason against the practice, there are several in favor.

The only reason it is not done is simple economics. It is obviously much less labor intensive to fit a single saddle than to fit six separate pieces.

As far as losing the pieces is concerned, a well fitted guitar saddle should allow the unstrung instrument to be lifted by gripping the saddle with a pair of pliers without coming out of the slot. If the six separate pieces were fitted with similar precision there would be no problenm with them coming out while changing strings.