Well, an "educated" thief would know about Sentry Mode on a Tesla and how it works, regardless of whether or not there's a decal. So, I'm not sure the presence of one would increase the risk of a break-in simply to steal a USB drive.
Thumbdrives and SSDs aren't worth much and take far too much effort to retrieve, even if it's just to remove evidence of the break-in. Breaking the rear quarter window allows easy visibility to the contents of the boot by simply flipping down the seat back. If the boot is empty, move on to the next vehicle. If there's a bag or something else that looks like it may contain high-yield assets (purse, laptop, etc.), smash the rear passenger window, dive in head first and grab the bag. Even if the car alarm is triggered, you're gone in well under a minute. You're not going to stick around to spend additional time (perhaps with the alarm already blaring) to smash a front row window, dive in, fiddle around with the console lids, perhaps remove an aftermarket console organizer, and rummage around for the USB drive that's maybe worth $20 retail.
If you are aware of Sentry Mode, you'd either skip the Tesla altogether (plenty of other cars to target with less hassle) or you wear a hoodie or otherwise mask your face (a popular apparel item these days) from the cameras when you do the deed. Going after the USB drive in another part of the car adds unnecessary risk for low return.
I may have missed it, but I don't recall reading of any instance of a car thief breaking into a Tesla to steal the USB drive, either before or after the introduction of Sentry Mode.
I'm undecided on the effectiveness of a warning decal. On the one hand, an "uneducated" thief may heed the warning as with any other security camera warnings. On the other hand, one can argue that the presence of such a decal may may leave the impression for an "educated" thief there must be *something* of value in the car that the owner is trying to protect. Maybe in the boot? Let's see what's back there; it'll only take a few seconds.