The way I see it, the primary reason to put a lock on an expensive stroller is peace of mind. It might not get stolen, but if it did, you would be so furious with yourself that your trip would be even more ruined than the loss of the use of the stroller would account for.
I went with the fold-prevention method. I got a lock that looks like a carabiner (you know, the sort that climbers use). It is made of aluminum, large and brightly colored, w/ a combination lock. When we arrive at the park, I put the lock across one of the crosshatch joints on the stroller back, which prevents it from being folded. The lock does not need to be removed until we leave the park, and the stroller remains functional. The lock cost me $5 at Target.
Of course, people do take look-alike strollers by mistake, but based on many stories I've heard, the phenomenon that causes more real trouble is the "free rental." With rentals at nearly $10/day, some people are tempted to "borrow" one for the duration of the trip. You know, pick one out, use it for a week, then abandon it at the last park you visit. If it has been reported, Disney will return it to its owner. No harm done, right? Believe me, far-fetched as it might seem, it has been known to happen, and not that rarely, either.
As for leaving valuables in a stroller, that's a no-brainer. DON"T DO IT! If you feel you have to carry expensive equipment with you in the parks, carry a light backpack to sling over the stroller handles, and when you park the stroller, take the backpack with you onto the rides. People WILL steal things that are left in plain sight, from water bottles and mister fans to camcorders, and you'll have no one to blame but yourself if it happens.