Database programmers have the means to deal with it off-the-shelf: BEGIN TRANSACTION ... COMMIT. When your queues are in the database, this becomes trivial. Even without the system I'm talking about (Service Broker) that has the queues stored in the database, most regular messaging systems do support enrolling into a distributed transaction and achieve an atomic dequeue/process sequence, is just that many apps/deployments don't bother to do it because the ops overhead (XA coordinator), reduced throughput and/or simply not understanding the consequences.
Point is that durable, persisted, transacted 'sockets' are behaving very differently from a TCP socket. Is a whole lot harder to simply lose a message in the app layer when interacting with a database.