Here's a little exercise for you that might relieve your mind a bit. Go out to your car or truck and take a real good look at the air intakes in the grill and lower facia. You will notice stuff that looks a lot like your Harley oil cooler, only a lot bigger, and you'll also notice it is exposed to whatever may fly it's way just like the Harley cooler. Radiators, trans coolers, power steering coolers, etc. are all just as exposed to the elements, and they rarely fail from road debris. One reason is that the fins absorb most of any impact, not the actual tubes that contain the fluids.
Yes, it's always possible to have a failure. But if it wasn't the oil cooler, who's to say a sharp rock wouldn't puncture the oil filter instead? Or considering the history of the company, you could have a loose adapter plate and a gasket blow out, dumping the oil that way.
Monitor your gauges - folks who ride long enough to cause a Harley engine to become toast when the oil leaks out obviously never look at the gauges or idiot lights. If it makes you feel more secure, get a hollow tube and two hose clamps plus about 3 quarts of oil, store them in a saddlebag along with some tools. If the cooler gets a hole in it, stop the bike, remove the hoses from the cooler and connect them to each other with the tube and clamps, and you have bypassed the cooler. Fill the oil tank and be on your way. Be carefull of the oil leaking on the ground in front of the rear tire, as it tends to screw up traction.
Jerry