Having worked all my life in insurance claims I have never come across a claim where the caravan was away and thieves broke in. That does not mean it has never happened most break ins are random though so it must be very rare. The risk will depend on where you live to some extent. With a house on a main road with lots of passing traffic the absence might be spotted, but if stored at the end of a culdesac with no passing traffic it is not going to be noticed when it is away.
You should notify your insurer of the two locations and the insurer will probably charge on the one it thinks is most likely to be the most risky.
Only one I know of happened many years ago. The couple went out for the day and on their return they found that the thieves had simply cut off the awning, hitch up and drove off. They were on a proper site apparently, but without security gates.
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