You have to keep in mind when locking things, that just like strollers, you have to do it in such away that CM's can still move it if needed. That is why I suggested using the front two wheels. The CM's can just tip the chair back and easily move it. When you lock the back 2 together, they can't easily move the chair, because the front two wheels are also steering wheels. When they try to move it on the front two, the wheels just turn side ways and go no where.
If you lock front wheel to back wheel, you are again in a situation that the CM can't move the chair easily if needed. Now you really don't have any way to move it other than picking it up and carrying it. I don't think Disney allows that of their CM's. I would think they would then again bring a pair of cutters to take care of that issue.
I don't think that any theif would want to fool with any chair that has wheels locked at all. Too easily to be noticed, but the wheelchairs that are taken are by fellow guests that for whatever reason, think that it is there for anyone, not that someone who might need it is nearby.
The one story that I heard of was a lady parked the wheelchair outside a store and went in to go shopping. They come out in time to see another woman, who didn't want to pay for a stroller for her kids that were tired, putting the kids in it to continue around the park. When confronted, the answer was "Oh, these aren't here for anyone to use?". I think this is more often than not the scenario. Not that someone is trying to steal it for other reasons. Just plain stupidity. This is the only case that I have heard of though of anyone taking a wheelchair.