If you're worried about it wandering off without you, get a bike lock and run it through the front wheel(s) when you leave it. The CM can still move it but some lazy jerk who has whining kids who are tired of walking won't just decide to "borrow" it because it's too far to the front of the park to rent a blasted stroller.
Also, if the front wheel is locked, someone can't take it on accident because it looks like theirs. They'd realize it as soon as they tried to roll it!
We took our travel system stroller when DS was 18months old (wouldn't change it for the world! Best choice for us!) and while it's 'only' an Evenflo, I didn't want to risk it disappearing - for whatever reason. So I'd say that 90% of the time we locked the front wheel. We just felt better about it.
Now that we have a new Peg Perego, you bet I'll still lock the wheel. DH would be livid to lose a $300 stroller and it WOULD ruin the trip for him - which in turn would ruin it for all of us (ya know what I mean?)
Ultimately, you need to do what works best for you. A bike lock is a cheap investment - maybe get one and if you end up not using it, then no big deal. Just remember you can lock the front wheel(s) but you cannot lock it to a stationary item like a fence. The CM must be able to move it if necessary. (and yes, over 75% of the time ours WAS moved even though it was put in stroller parking areas - but always easy to find)
