I decided to play freerolls until I learned and felt confident in the game. Anyone who doesn't lose money doesn't lose.
I am in total agreement with you, what you never had, you cannot lose, is my philosophy and playing On-line Poker for free! is a great way to learn how to play Poker, It took me a while to progress into Live games, but I have had a few successes, and playing in a League format took me from Pub's and Club's into the real Casino Games which were also free!
From those experiences I then went on to buy-in games and never really looked back.
The biggest mistake players make, is to think Poker is an easy way to make a living, It's not! It takes hard work and a lot of studying to become a great player, which is not what I want from Poker, I enjoy playing and having fun while I play, and losing a couple of bucks here or there is not that big of a loss to me.
Playing within your comfort zone is the most important aspect when playing Poker, and if that is purely playing Free-rolls or Micro stake games then that's fine. Also if you can afford to lose $100 every game you play then that is fine too, but only if you can afford to take such losses.
For some people $100 Dollars is a small fortune, or even a weeks wage or more, for some it could be a night out at a bar or pub.
Playing beyond what you can afford to lose, and you are heading for disaster, you should take a long hard look at where you are losing money and adjust your strategy likewise.
When the fun Stops, STOP!
(Seriously)