Hi steve,
the same has happened to me twice, once at Black Beck in the lake district and the other at warren farm in somerset.
Both times the water heater cover was attached in the morning but gone in the evening, The annoying thing is as like you I dont heat the water on gas so never remove the cover ordinerily, however when i do occasionally to check all is ok its a sod to get off as a really tight fit so the theives must have to give a good tug which must make a noise but nobody ever notices.
However the worst theft i saw was on a site in blackpool, A motorhome went out for the day and left on pitch the aquaroll waste tank and steps when they came back and all had been taken, luckily the caravan opposite this time did spot what happened and noticed which unit they were taken too and took the drivers car reg plate before they left the site, I would love to of seen their face when the police turned up on their doorstep.
Hopefully this is a one of incident for your good self, and hope you can put it to the back of your mind and carry on caravaning.
cheers
John