The problem arises what the penis held in position by the females colliders, rather than being configured to actually be in the position it needs to be. When the scene loads, then, it ends up where it wants to be, rather than where it was forced to be when the scene was saved. Or if it slips out, it flops to one side rather than going back in.
A trick you may find helpful is to fully withdraw the penis, set penis base rotation to "on", and then turn it so the dick it pointing directly at the orifice. Now if it slips out it has a better chance of going back in.
When the dick is fully inserted, turn penis tip position (but not rotation) on, so the dick is always being pulled back inside.