I've heard of people running ashore in the night when they trusted one to hold a course for even a little while.

A wind vane is the only way to go. Even then you have to keep an eye on them because they are built to follow the wind...and the wind can change....and the boat will follow. Some would argue that the mechanical pilot is safer because if the wind changes the pilot will hold a steady course and you'll be alerted by flogging sails.

And that is a big part of their problem offshore.