It’s pretty tight. It won’t come off unless you swing it REALLY hard. The USB cap clamps onto the two holes on the top and bottom of the usb to secure it.
It is very secure, I don’t think it would come off even with a hard swing, since the prongs holding it on attach on both sides and are metal, and the device itself is light. I occasionally just let it dangle at the end of my headphone cord.
The cap actually snaps on VERY tightly. It takes a fair amount of force to pop it off. As for why they did it this way, I think that for those using it as a thumb-drive this allows them to carry it around their neck then just disconnect the Sansa Express to plug into a computer without having to constantly remove the strap from around their neck.