Personally I use aperture priority mostly as it seems to suit how I think but when the light level drops and my camera wants me to shoot at 1/30 I'll probably move to Shutter or Manual depending upon what camera and lens I have (my G1 won't work in Shutter with manual lenses.)
I just read through the thread, and this stood out for me.
If you have your camera in Aperture Priority, and because of the aperture you have set, and the lighting conditions, the shutter the camera chooses is 1/30th second, which you deem to be not right for you, you change to Shutter or Manual. Now this is the bit that confuses me, what difference will that make? If you were at your maximum aperture in A mode, the camera measured the scene and said this (1/30th sec) is the shutter speed for the correct exposure. If you put the camera in Shutter Priority and set a faster shutter speed, if the ISO has stayed the same, and the light in the scene has stayed the same, the image will be underexposed because the aperture can't get any wider. In the same situation, but this time using Manual mode, you set a faster than 1/30th second shutter speed, if the ISO and light conditions have stayed the same, then the scene will again be underexposed. Please tell me how I have misunderstood you?
All Auto ISOs are not the same. For some cameras all that they want is for the camera to have 1/60th sec in Aperture Priority with whatever aperture was chosen. Possibly OK if you have 50mm lens attached, but with a wider focal length lens it may be raising the ISO before it needs to. If I have my lens at 16mm, then I may be able to hold the camera at 1/15th sec. But a camera with a 'dumb' Auto ISO mode will want to raise the ISO to 1/60th sec. It would be raising the ISO when it didn't need to. And if I have a longer focal length lens, say a 300mm lens, then 1/60th sec will probably be too slow for me to hand hold the lens.
On my camera it allows me to set a minimum shutter speed for the Auto ISO to be raised from its base ISO, and a maximum ISO to go up to. It was a good first step at being 'intelligent', but some newer cameras can also take into account the focal length of the lens as to when to raise the ISO. You can also compensate if your are a steadier, or shakier person.
All the above is before any image stabilisation is factored into the equation.
The Nikon Df, because of the design choices, makes it a bit harder to change the ISO from the dial on the top of the camera. Also because of the design, you don't get the flexibility of changing the shutter speed in thirds of a Stop, unless you set the dial to 1/3 and use the dial on the back of the camera, just like every other Nikon DSLR.
And if that is what you are doing, the the Shutter Speed dial on top becomes a lot less useful. Nikon try to spin these design choices into a feature by saying that it makes the Photographer slow down and consider the scene. BS of course,
if you want to take your time and consider the scene, then do it, you don't need the camera getting in the way and slowing you down imho. What happens when you need to change things quickly?
The Nikon Df, like the D800 before it, (not sure whether it was the first camera that altered the Auto ISO in relation to the focal length, but it was the first I had read about it in a review) should have an Auto ISO mode that tracks the focal length before it starts to raise the ISO. They used to say that your minimum Shutter Speed is the reciprocal of the focal length used. You 'should' be able to hold a 50mm lens at 1/50th sec, a 300mm lens at 1/300th sec for etc, and that was a good 'rule of thumb' for 35mm film. Cropped sensors, image stabilisation, and the steadiness of the person holding the camera muddy the water a bit.
The range of the usable ISO in many new cameras means that Auto ISO can be a setting that can be used with less detrimental affects on the image to give more creative possibilities, or to be set and virtually forgotten in most daylight situations. My camera is 5 years old, and while high ISO performance has improved a lot in the intervening years, I have to be a bit more careful about what the ISO setting is, and when the ISO starts going up. It's 'good practice' to use the lowest ISO you can anyway.