The statistics don't tell the whole story. Airlines with lots of connecting passengers (such as KL) are more likely to have luggage not making connections (and thus being declared "lost") than airlines with relatively lots of point-to-point traffic. (BA, AF)
I have been 12 years Royal Wing / Platinum on KL and my bags have always reached the destination with me. I always fly point-to-point on KL and never have a connecting flight. I have flown far less on LH and CX and my luggage has not made connections at FRA and HKG with these carriers.