We don't leave our valuables out on display, so we always leave our caravan unlocked. There wouldn't be much point in locking the door, as we always leave the windows open anyway. One daughter sleeps in a pup tent, so we leave the door unlocked at night in case she needs to come in to us for some reason. Passports, documents and money are kept in the safe.
I think it's pretty sad if people have to set an alarm - whether through personal choice or because of an insurance policy - even if they leave their caravan to pop for a shower or go for a drink with a neighbour. When I go to do the washing up, go for a swim, pop to the shop or whatever, the last thing on my mind would be locking the door and setting an alarm.
To qualify the above, I should mention that we tend to go to busier sites with plenty of people around. A deserted CL in low or mid season is another matter, but that would also depend on the location and immediate surroundings.