I think very little gets stolen, but wouldn't recommend leaving valuables. That said, I have accidently left my wallet in the backpack sitting on the stroller seat and had no problems. If you figure most people are going to bring their valuables with them and leave the wipes/diaper etc in a bag, even if someone wanted to steal, it would take looking through a lot of strollers to find the one that had something worthwhile in it.
No one answered your question about the stroller lock. I don't think most people use them, because they aren't needed. Even the Bugaboos, Orbits, BOBs etc don't seem to get stolen. But if you use a lock, you have to make sure the wheels are still usable. Often CMs will rearrange strollers to make more room, so having one locked up to a permanent object, or having all the wheels locked would make things difficult.
I read once that you can put a lock around one wheel and the frame. So the stroller is still moveable, but someone would get strange looks trying to take it through and then out of the park, thus minimizing the chance of theft.