Why not have a phone with three SIM card slots? Avoid the kickback from the carrier to Apple.
Store Ki directly on device. Modern phones have HSMs so key will be kept as secure as with a "real" SIM HSM, and bet phones could do the necessary crypto just fine.
Sure, a customer will be able to clone their own SIM card and share it with others, but I don't think that's a major issue. Logging onto the network with a cloned SIM is certainly preventable, and if you get kicked out every time other card clone logs in (and if that happens too frequently your account gets suspended altogether until you resolve the issue with a human support), sharing would be anything but desirable option.
If you have the Ki on the device, you're effectively going back to CDMA-style devices, whereby you need the carrier's assistance to move between handsets.
But maybe not in the US...
You're right, but it does feature in some higher-end phones http://www.phonearena.com/phones/Lenovo-Vibe-Z2_id8895
Is Lenovo now considered high end?
Though, thinking about it, maybe people still use multiple sims in higher-end phones for the same reason?
A common use case is a local SIM card when travelling or commuting to a different country. Even people who don't travel a lot for work will typically travel semi-frequently in other countries in Europe, for family or vacations.
Lots of people (in all the economic brackets) keep multiple phones numbers in the develloping world..
Some because it's usually cheaper to call within a carrier so they use a certain line to call certain numbers. Some to be reached more easily (for the same reason as above). Some because there's no number portability and they want to keep their old number while they want to use a new one for whatever reason. Some because networks can be unreliable. Some because they'll give separate numbers to separate people (Pro/Personnal , wife/mistress, anybody/VIP).
And since most people are on prepaid, there's little to no cost to having multiples lines.