Hi Jim,
it sounds like this a possible way to loose bitcoins:
1) user opens/creates a new a wallet on USB pendrive
2) user removes USB pendrive with the MutliBit client still open while some background task is still writing to the USB pendrive
3) MutliBit notices that something went wrong during storage but does not find a storage medium.
Would it be a solution that MultiBit asks the user (e.g. in a dialog box) to provide a new storage place and filename in case of 3)?