It is a key chain thing, since it is swiss army who typical do an alright job concerning quality (like their watches), I am sure the recess for the usb is tight as any other high quality connector.
I don’t usually carry a knife, pen or key light so if I have to carry a usb, might as well carry something that does more than one job. This was what made me even think twice about it other than the cool factor.
For a USB stick (which goes in the pocket too, I try to keep the key-chain as light and unencumbered as possible) I used to use the Lexar "sport" models with a stretchy rubber cap, but have recently been using PNY ones with a plastic cap that seals pretty well.
Forgot to mention it, but I do love those SW watches though. Won’t wear anything else, even for dress. I beat the crap out of watches and these just seem to lap it up and keep on going.