Some styles of jewelry can be considered more high maintenance than others, and pave is one of those styles. All those tiny stones set together with delicate metal beads can be a recipe for disaster.
Please understand that I am not implying that if you own a piece of pave, you WILL have problems - just that this style is notorious for loose/lost stones and you have a higher chance of issues with this style.
The first thing to remember if you are considering a piece with pave is to make sure you buy a high quality piece. A cheap piece of pave is just asking for trouble. However, even a top notch pave setting needs extra care so be prepared to go the extra mile to look after the setting. Pave is for life, not just for Christmas.....
The setting will need cleaning regularly and thoroughly - there are so many nooks and crannies with pave. Make sure you give it a good scrub with a toothbrush and liquid detergent in a bowl. That way you will catch any diamonds that fall out. Make sure you clean the back of the setting too.
Once it is clean, check each stone for movement. Use something like a pointed pair of tweezers to push every stone and watch for any movement whatsoever. Stones that are loose can be marked with a child's washable marker before being taken in for repair, although the jeweler should check them all for you anyway.
Check out the ultrasonic thread for advice as to whether you should put a piece of pave in such a cleaner:http://coloreddiamond.info/jewelry-care/using-an-ultra-sonic-cleaner/0/
As with any other piece, if you knock, drop or bend the shank of a pave piece, you need to check it over thoroughly for loose stones. Also, bear in mind that you probably shouldn't wear any other pieces that will rub up against the pave. You run the risk of damaging the setting and losing stones. Besides, pave is usually so sparkly and eye-catching that it doesn't need anything to accent it - it will be beautiful all on it's own!