The boys were not familiar with this expression. The Spanish version, at least the one I know, is more explanatory: "mejor es malo conocido que bueno por conocer". I thought of it because I've been thoroughly researching a product that I want to buy. I really like a particular brand but if you do enough research you find problems with anything. I have made the mistake in the past of changing my mind at the last moment and purchasing products I have not researched well - and thus have no problems that I am aware off. But more often than not, every option has its problems and you are just getting problems you were not aware off.
On a more traditional use of the expression, I told the boys about the time we decided to change the skipper of a boat we used to own due to some issues we had with with. We hired a new capitan who, on the surface, looked great, only to find out he had an even more serious problem than our previous one! This also brings up the issue of the relationships that one develops with people. One develops emotional attachments that can be more important than the faults some people have. In the case of the captain, we realized after the fact we really cared for our first capitan and should have weighted more heavily our personal relationship with him.
Another example is my car's navigation system: whenever there is traffic in the highway the system recommends that I exit the highway and use the streets instead. The problem is that the system only gets traffic information for highways, not for streets. And the default with no information is to assume there is no traffic! More than once I've gotten off the highway only to find the streets have even more traffic.
I don't mean to say that one should never make changes regardless of the problems one encounters. Only that one shouldn't confuse lack of information with lack of problems. If you need to make a change, as you often do, get enough information about the alternative you are considering so that you can compare "apples to apples". You can then determine whether the alternative is truly better than the "devil you know", or whether you need to keep looking. And to throw in one final saying in today's post: remember that the grass is always greener on the other side :-).