I dislike adjoining rooms, but more for noise than security. The two are related though, because I know I feel far more self conscious raising noise issues when I'm travelling on my own.
I would pay extra for a hotel with a "quiet floor", where there were penalties (financial, like the smoking in non-smoking room penalties) for noise. I seem to always get put beside the convention/corporate function groups (or once, in a high end hotel, a juvenile hockey team
).