I think this happens to most people. Of course, some guys use the "OOOOPS, I missed" as a sneaky way to try to obtain anal sex. Not recommended. (This seems to be more of a High School and college boy thing.)
I don't like when it slips out of the anus and into the vagina. I hate vaginal infections. We've found that using a phallic vibrator or dil during anal sex prevents this from happening. It's also a lot of fun to use both orifices.
A butt plug could prevent the penis from slipping out during PIV and into the anus, if it's an ongoing problem. If they hit the base of the plug more than once, they have a pretty good idea that they need to be a little more careful.