Me neither (with other Pure models), until now. I think with a little more careful technique it's not a problem. I was accustomed to the grips just blowing on/off quickly without having to pay too much attention, except for getting the alignment correct and stretching to the length you want. I made a short clip of removing the grip from my 4-iron, and you can see after a couple bursts there is a point where the top wants to start ballooning (4 seconds in), and if I wasn't careful with the bursts, it might have blown up (pardon the messy garage).
Yeah - just a bare steel shaft. They are brand new shafts, no previous double sided tape or masking tape.
I bet a single wrap of masking tape would reduce the friction between the bare shaft and rubber grip enough to prevent this. At least it seems like the non-sticky side of masking tape is slipperier than the chromed steel.