I have used nasal pillows for a long time and have always liked them. However, I am starting to experience the same problems you describe. Last time I went in for new supplies I was all set to get the mask you pictured. The only thing was, the med supply people sid it might not seal as well as the pillow mask. Have you had any problems with the sealing? I'm thinking it may be time to make the switch.
I was also slightly concerned, but I have had absolutely no problems. Not only am I not aware of leakage problems, but when I recently checked my AutoPAP's logs, it showed really good performance with regard to leakage. Very occasionally, I have woken to find that the headstrap has worked up the back of my head (because it has caught on the pillow), making the mask a little loose. But even then, it is the easiest adjustment to make, just pulling the strap back down automatically moves the mask snugly to where it should be.
Note that the following info is based on the UK market, I don't know if the same issues exist in the States: What I found was that some companies were selling this cheaper than others. It took me a bit of sniffing around to find that my preferred supplier (who was more expensive) was selling the complete kit as intended by the manufacturers. This contains the main headgear, the elastic strap, and *4* under-nose pieces in small, medium, medium wide and large. At least one of the other companies was only selling the headgear with a medium mask.
Of course, having the 4 options lets you experiment. By my experience with nasal masks, I would have assumed I needed a medium wide, but it turned out that the medium was the best fit. So my advice would be to check you are getting a full starter kit.
The individual bits can be purchased as spares, naturally, and things do wear out eventually.
As I say, I first tried the medium wide nose-piece, and that fitted pretty well. But when I tried the medium, it fitted perfectly. So I am using the medium, and keeping the medium wide as an emergency spare, as I can make it work. As I know I will never use the small or large nose-pieces, I'm considering putting them on eBay - someone may have a use for them!
I actually find this mask the easiest to put on, and the least annoying/distracting during the night of any mask I have had - and I consider myself to get on with CPAP masks quite well.