Why do I hear so many stories about women getting pregnant on the pill?

After having sex with my fiance, I think his condom slipped slightly when he pulled out. I have been on Loestrin 24 Fe since July. I have never missed a pill and I take it at the exact same time every day. Our condom usage along with me being on birth control makes the chances of me being pregnant very slim, but I hear all these horror stories about getting pregnant on the pill and if it did indeed slip before he took it out, I don't want to even think of the possibility of being pregnant (I have way to much going on to worry about that at this moment). So, does anyone out there want to be nice and shed some light on why all these women get pregnant while on the pill? If anyone has, do you know why? Is it because you didn't take it regularly or happened to be taking a medicine that interfered, etc? And if I did end up getting pregnant at some point on the pill, what signs would I recognize while on the pill (seeing as some women on the pill still get a normal on-the-pill-period, and seeing as the birth control itself can cause the early signs of pregnancy anyway)?