Yes, the TPMS is a great feature. One thing to remember is it's not an instant read. It will not alert in the case of a blowout or sudden flat. It takes an average over like 15 minutes (read the manual for specifics). So even adding air may not cause the light to go off instantly; it may take a few minutes of driving before it confirms all is well. I think shutting off the engine before filling may cause it to re-test, but I'm not sure.
Like fortow suggests, it's important to realize the TPMS is like the gas gauge - it's not an exact indication, and requires intelligent action or analysis from the driver. Keep a digital tire gauge (forget analog, spend an extra 10 bucks once every 10 years) and measure weekly, monthly, whenever you suspect a problem. Then cap the valves - uncapped valves are the most common source of very slow leaks.