I don't have a drill that slips, just wanted to know.
Yes, obviously a hex shank drill will require less clamping pressure in a chuck to stop it slipping. People are just pointing out that, apart from slipping, there may be other draw backs to them.
Also be aware that you don't need to go for a full hex shank to get the "non slip" advantage. A tri-flat shank is the most common method of providing improved resistance to slippage. Some people prefer this style for bits that they'll use predominately on a hand drill.
While a good quality chuck should hold a regular round drill bit without problem, the tri-flat design can be particularly useful for bits that have a significantly larger diameter head compared to the shank diameter. I find them useful on step bits and countersinks.
Tri-flat shanks are usually (but not always) just machined into the existing shank, without necessarily reducing it to a standard size (like 1/4" for example). Hex shanks drills on the other hand are usually (but not always) made to a standard size (typically 1/4").
A tri-flat machined onto an existing shank is generally going to be a lot more accurate (with regard to run out) than cheap drill bit pressed into a hex piece of pot metal.
The attachment shows the difference between typical tri-flat and hex shanks.