I spent five months in Europe, and in my experience, pick-pockets are only a problem if you're careless. If you're paying attention and are aware of your surroundings, then you shouldn't have anything to worry about. For the extra cautious, there are slash-proof camera straps and bags, but that's something I never bothered with.
While I've never been in a church that required me to store my bag in a cubby, some museums have coat checks where they require you to store backpacks (Doge's Palace in Venice comes to mind). However, in those situations, they only require you to store large bags and backpacks, and you can always keep your valuables (camera included) with you. And the coat checks are guarded at all times by a staff member, so having a bag stolen from that shouldn't be a problem.
Each church differs with whether or not you can take photos, and most churches do not allow you to use flash.
Will your DS regret not bringing his camera? If he's just as happy taking photos with his iPhone (which most of his friends will probably be doing), then I doubt it. He should leave the camera behind and travel lighter. But if he enjoys photography and wouldn't be satisfied with an iPhone photo, then I would urge him to bring the DSLR.
Precautions... wear the camera around your neck/across your body. Don't worry about not looking cool because it won't be worth it if the camera happens to fall to the ground or get snatched out of your hand. Pay attention to your surroundings and put on your "game face." I've learned that people don't mess with people who look to be in a bad mood, so whenever I'm traveling alone or am in a sketchy situation, I try my best to look generally ticked off rather than lost and confused. Back up, back up, back up! Try to back up your photos every night. Bring more memory than you think you'll need. I'd suggest two 16gb memory cards, more if you shoot raw. And take your camera everywhere. If you're at a museum where you have to store your bag, take your camera out of the bag and wear it... even if you aren't allowed to take photos! And speaking of not taking photos, there are usually pictorial signs at the front of churches and museums where an X will either be over a camera or over a flash. You might want to clarify whether it's no photo or no flash.
I hope he has a wonderful time in Europe!!