The time to worry that our ancestor wasn't baptised is when we can't find a baptism that fits - when we can there's little point worrying about it. After all the chance that our ancestor wasn't baptised, but another child with the same name was baptised around the same time in the same parish is very small.
This is another example of why an understanding of probability is important to genealogists - someone who spends their time worrying things that only happen once in a blue moon isn't going to get very far in their research.
I'm afraid I see various flaws in this argument.
Firstly, from my own experience, I think the chances of a baptism which seems to fit
not being the right one may be higher than you might think, and I suspect there may be regional variations as well as between mostly rural and mostly urban communities. I have come across plenty of examples where a baptism appears to fit in terms of when, where and even father's name but turns out not to be correct.
Secondly, our ancestors were individuals not statistics. I'm not saying that probability has no place in family history but we need to be wary of assuming things about our ancestors based on majority trends. Personally I would rather check out even a small possibility that a baptism I've found is not the right one than risk climbing up what might turn out to be the wrong family tree.
Thirdly, blue moons may be uncommon but they are not so rare that we can disregard them. More seriously, though, this seems to me to highlight a fundamental difference in approach - is our focus more on "getting on" in our research or "getting it right". For those whose focus leans more towards "getting on" then I can see that weighing up probabilities might be more important than for those of us whose focus is on "getting it right".
Lastly, and slightly tongue in cheek, for those of us to whom statistics do not come naturally, it may prove quicker to check out that baptism than work out the likelihood of it being the wrong one. (And more enjoyable!)