There’s not much point worrying. Car thieves break into cars. Not much you can do about it unless you have a secured garage.
When we lived in the city, my Maza was broken into once and my wife’s Civic was broken into several times. I live in the country now with little crime, but a neighbour kid broke into another neighbour’s car last year.
With the sentry mode, I think the Tesla is at less risk, although that assumes that car theirs are knowledgeable and rational, which doesn’t seem to be the case.