Smaller denominations help if you plan on redeeming in small denominations (you don't need all the money back at once). But buying 100 $50 I bonds for $5000, instead of, lets say, 5 $1000 I bonds, is sure a lot less paper to worry about. And to redeem 100 I bonds at once would make a nervous wreck of your teller at your bank. Plus you'll have to sign and fill out the backs of all the bonds upon redemption. But, basically, it's just your own individual financial needs in determining the denominations you want.
As far as lost or stolen, I've never had them lost in the mail being sent to me, so I can't say how easy that is to be replaced.
If you already have bonds, I do suggest making notes of the serial numbers and keep them in a separate place. That way you can tell which ones are missing, if that happens at a later date. Otherwise, if you lost a portion of your bonds, it wouldn't be an easier chore figuring out the ones that are gone.
Again, I've never lost a bond, so I have no experience in this. But I would think the Treasury would be able to pull from their computer a list of bond serial numbers registered to your social security number, if your bonds were lost or destroyed along with not knowing the serial numbers.