That is sort of an "Apples & Oranges," question. The TKO 2.0 is great for vanishing items whereas the Super Slim Hip Pocket Mullica is for productions(usually cards) and occasionally as a mentalist's peek. I can answer your specific questions though.
RE. TKO?:What if you get caught? It will take some practice to get your vanishes to work every time, but once you have mastered the moves it will be like riding a bike. Your muscle memory will know exactly what to do and because of that the vanish happens so quick that it is highly unlikely that you will ever get caught.
What do you do in Winter? The TKO still works with an unbuttoned jacket over your shirt...but it does not work as easily. In this situation you can revert to a classic Toppit style (Such as David Penn's 21st Century Toppit).
RE. What if they ask to examine your wallet? This is unlikely if you present your effect well...but it can happen. Untimately with many Mullica style wallets(such as the Super Slim)part of the wallet actually can be examined. That said, it is best to avoid that altogether. Remember, it is your wallet. You keep your money and credit cards in there. You have every legitimate excuse in the world not to let someone poke around in there.
TKO 2.0: http://www.penguinmagic.com/p/2700
The 21st Century Toppit: (Right handed) http://www.penguinmagic.com/p/S11511
and (Left handed) http://www.penguinmagic.com/p/S11510
Super Slim Hip Pocket Mullica http://www.penguinmagic.com/p/S12978