Oh it's really annoying when that happens isn't it. We get that too occasionally, a day of running at 11-12 all the time, which isn't high enough to instantly suspect a problem, but then after a set change it immediately goes back to 5-6! I think the worst bit about pumping is the cannulas, but as you can't have one without the other you have to put up with them!
We had a problem in the early days with a cannula insertion that went horribly wrong (we use Roche Flexlink, you have to shoot them in with the twangy thing, basically it didn't fire properly and daughter got stuck with cannula and inserter hanging off her tummy and I couldn't see any way of removing it without inflicting pain!), and set changes after that became a nightmare for about four months. Screaming, crying, begging me to let her go back onto MDI; we tried cuddling her, shouting at her, bribing her with chocolate (!), everything. It was horrible, because she was upset I was upset, and I felt like a real mean old mum because I wouldn't let her go back onto MDI.
Then after about four months of this she suddenly decided that life would be a whole lot more pleasant if we just got set changes over and done with as quickly as possible with minimum fuss (i had been trying to explain this to her for weeks before), and hey presto since then things have been much better. I think we get far fewer cannula failures now that she isn't tensed up during changes.