Nothing happens until it happens. Ive never had my stroller stolen from WDW, but it happens. I've never had anything stolen from my room or stateroom but it happens.
We went with the safego and for the most part we keep our eyes on our bags but if we go to lunch, go to a waterpark, take an excursion with a day pass to an island resort, etc we use our safe. Many resorts I have been to in the caribbean do not allow anything down the water slides (no glasses, no phones, no cameras) and while I don't mind leaving my hat and sunglasses out of sight I'd rather not leave things like my GoPro and phone.
Its one of the cheapest insurance policies I've ever purchased (three trips now) and with every trip I take the cost per trip keeps dropping.
https://safego.us/