Yes, they do get stolen occasionally, though it happens most often at DD, not so much at the paid-admission parks. Most cases of "disappearing stroller" are cases of mistaken identity, but there are unscrupulous people at WDW who will steal; don't doubt it. Often, they will only "borrow" a stroller for the length of their stay and then abandon it somewhere on property. Make sure that your stroller is very well-labeled, and not just in places where the labels are visible. Turn it upside-down and paste labels between the upholstery and the frame. If it turns up in the lost and found with the more noticable labels removed, you want there to be some way to identify it.
WDW does not discourage locks, per se. They prohibit you from locking a stroller to a fixed object, like a fence, etc., but they don't have any problem at all with strollers being locked to immobilize them. Some people run a bike cable through the front wheel spokes so that the stroller will only roll if you do a wheelie.
I lock mine for peace of mind, but locking the wheels is so time-consuming that it gets annoying after a while. I compromise by locking mine across a fold joint; I figure that someone looking to steal is not going to waste effort on a stroller that will not fold up.
I also put shiny curling ribbon on the handles at parks; it sparkles in the sun and makes it easy to spot in a crowd of them, and since it drapes where your hands are, it would be hard to miss if you had just grabbed the wrong stroller by mistake.