I seem to recall that they do collect them back sometimes. Went back and forth from HK to Macau, Shenzhen a few times during my recent stay.
I seem to have fewer slips now than I should have and remember a customs officer taking one out and keeping it whilst giving me a new one at least once.
Didn't feel like making a stink about it. (I never mess with border officials.)
I actually prefer a stamp for tradition's sake. These slips look like grocery store receipts and, being loose, can be lost.
Further, they're on that cheap thermal paper that'll fade over time.
I like the different country stamps physically on my passport. And I like the officiality of the imprint's "thunk".