I think most people lose their first deposit if not right away then over time... some players are making smaller deposits when they could afford larger. This isn't a leak or bad BRM. They shouldn't deposit more just because they can afford it, and they shouldn't "play down" to the level of their deposit.
I didn't lose my first small deposit online, but I was also playing lots of freerolls
and I also got lots of transfers from friends to play initially. (I did pay them back, though usually with cash after I noticed putting money online was going to become a trickier issue.)
I did lose my first couple "deposits" playing live... over the first year of transforming from playing free bar league poker (where I won enough to get a bankroll started in the first place), but I eventually hit my stride and haven't had to worry about it since.
The closest I've came is when I've had to spend from my bankroll for life expenses. Although, I do have to say that most of the small-stakes action isn't worth playing in my area anymore, which is why I moved over to playing online in the first place. Sigh...