Sure, most of the time the cable seems secure enough to maintain connection when I accidentally nudge the laptop. But every once in a while, when I slightly shift the laptop here or there, flicker and everything goes batshit. The monitor loses connection, so maybe (depending on config) the laptop screen changes resolution and then eventually reconnects and flickers and changes back. Or the network drops out (if I'm connected to Ethernet over Thunderbolt). Or a program freaks out because the drive it was using disappeared. Or the laptop really freaks out and kernel panics.
Like I said, it doesn't happen a ton, but it's happened a handful of times over the years, just enough that now I always use an external mouse and keyboard with a docked laptop to avoid such nonsense.