There's a lot of debate on this subject and yes the fire brgade does mute annoyance at trailers being locked to tow vehicles in transit.
But realistically one does have to take precautions these days. Thieves ply motorway services and carparks looking for easy targets and are not above un-hooking a trailer and nicking it.
I would not advocate using a hich lock while driving because, as Lutz has said it might foul the tow bar or caravan hitch and cause problems. Furthermore as these are designed to be awkward to remove when the caravan is uncoupled and parked on the drive etc, I can see why the emergencey services might get stroppy about them being in place while driving.
However, if you use a motor cycle chain for instance and fit it so that it doesn't interupt or consrtict the movement of the hitch, but secures the caravan to the car, then I would do so. After all, that item is easily cut off using bolt cutters or the air jaws of a fire tender.
What the fitting of any security device does is to encourage the theives to buzz off to easier pickings.
You won't stop a determined criminal, but you might slow him down and time is not what he want's to waste as he might have plenty of time to reflect upon if caught.