A friend of mine to who had the misfortune of this happening to him described it as the "worst thing he could ever image happening to a person" - they were mentally broken for months. So I wouldn't say this is a lighthearted comment to make, especially if you said it to them face-to-face.
Stillbirth is rare. Miscarriage is incredibly common.
Both are painful I suspect a stillbirth far more so. The difference is that people shouldn't expect a stillbirth anymore than the death of a child - there is no need to prepare for it as a likely outcome. Meanwhile if you are intending to have more than one birth child you are more likely to experience miscarriage than not - it is better to be ready for it than have it come as a total surprise.
Edited slightly.