What carrying means to those with a permit to carry:
Having a concealed weapon on board when they go out in public, like to a shopping mall or a ball game or a concert or an art exhibition means that they are going out among potential enemies- people who, if they knew we had a gun, would be suspicious and afraid and wonder what we were up to, who we can't depend on to react sympathetically if we somehow slip and reveal we are carrying. Being patted down and ID'd by a police officer sort of ruins the evening a bit especially if the officer does it in the manner that's prudent for them when dealing with the presence of a concealed weapon. That's the majority of the people most of us are among. In some areas there may be more illegal guns than legal ones being carried. We try not to go to such places.
We are also carrying the key to a total demolishment of our future and that of those we are responsible for if we make one mistake involving the gun, or misjudge a situation even a little and over react. And if it becomes necessary to actually use it, and we miss our aim or lose control of the gun in a struggle and someone inadvertently gets shot, things for us have, in one jump, become totally life-altering and maybe life-ending for us and/or others.
If we become the victim of a mugging we couldn't stop we might be responsible for yet another illegal gun on the street.
Even if nothing happens, having a firearm in possession means we have to keep that foremost in our mind as we go about what we are doing; we have to be much more circumspect and less intolerant of small annoyances from others, because a small squabble about a parking spot or spilled coffee or whatever potentially could lead to an escalation that turns into a disaster if the gun gets involved even by accident.
This is called "worst casing" the situation, and having a concealed weapon provides a mountain of opportunities to find reasonably possible bad outcomes. Doing this analysis when deciding what to do or not do in any situation determines the risks involved, and if the risks are worth it, then we do it; if not, we don't. There are situations and circumstances wherein we can reasonably predict what we might encounter and adding up all the factors involved comes to carrying. But not very often.
Most of us have to live by what is called reluctant participation which means we cannot be the one to escalate any situation nor can we come to the aid of another unless there is an eminent threat of great bodily harm or death.
We also carry a LOT of responsibility for the right to protect ones self and our loved ones.
To answer the nothing has happened to me so far question - I have life insurance, property insurance, auto insurance etc etc that I have not had to use either but that doesn't stop me from being prepared.